Related papers: Schr\"odinger's problem with constraints

This article presents some controllability and stabilization results for a system of two coupled linear Schr\"odinger equations in the one-dimensional case where the state components are interacting through the Kirchhoff boundary…

We consider a renewal process that is conditioned on the number of events in a fixed time horizon. We prove that a centered and scaled version of this process converges to a Brownian bridge, as the number of events grows large, which relies…

Our point of departure are the unitary dynamics of closed quantum systems as generated from the Schr\"odinger equation. We focus on a class of quantum models that typically exhibit roughly exponential relaxation of some observable within…

We consider the discretized Bachelier model where hedging is done on an equidistant set of times. Exponential utility indifference prices are studied for path-dependent European options and we compute their non-trivial scaling limit for a…

We explicitly construct the supermartingale version of the Fr{\'e}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-Labordere et al. obtained in the martingale setting. Our…

Strong embeddings, that is, couplings between a partial sum process of a sequence of random variables and a Brownian motion, have found numerous applications in probability and statistics. We extend Chatterjee's novel use of Stein's method…

The Schr\"odinger bridge problem is concerned with finding a stochastic dynamical system bridging two marginal distributions that minimises a certain transportation cost. This problem, which represents a generalisation of optimal transport…

We consider transport over a strongly connected, directed graph. The scheduling amounts to selecting transition probabilities for a discrete-time Markov evolution which is designed to be consistent with certain initial and final marginals.…

For classical finite time horizon stopping problems driven by a Brownian motion \[V(t,x) = \sup_{t\leq\tau\leq0}E_{(t,x)}[g(\tau,W_{\tau})],\] we derive a new class of Fredholm type integral equations for the stopping set. For large problem…

We consider non-colliding Brownian bridges starting from two points and returning to the same position. These positions are chosen such that, in the limit of large number of bridges, the two families of bridges just touch each other forming…

We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…

Prices of tradables can only be expressed relative to each other at any instant of time. This fundamental fact should therefore also hold for contigent claims, i.e. tradable instruments, whose prices depend on the prices of other tradables.…

We consider an initial-boundary value problem for a generalized 2D time-dependent Schrodinger equation (with variable coefficients) on a semi-infinite strip. For the Crank-Nicolson-type finite-difference scheme with approximate or discrete…

We discuss the observability of a one-dimensional Schr\"odinger equation on certain time dependent domain. In linear moving case, we give the exact boundary and pointwise internal observability for arbitrary time. For the general moving, we…

Motivated by the polynuclear growth model, we consider a Brownian bridge b(t) with b(\pm T)=0 conditioned to stay above the semicircle c_T(t)=\sqrtT^2-t^2. In the limit of large T, the fluctuation scale of b(t)-c_T(t) is T^{1/3} and its…

We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction…

In this paper, we consider scaling limits of exponential utility indifference prices for European contingent claims in the Bachelier model. We show that the scaling limit can be represented in terms of the \emph{specific relative entropy},…

We present a theoretical framework that reinterprets Population Annealing (PA) through the lens of the discrete-time Schr\"odinger Bridge (SB) problem. We demonstrate that the heuristic reweighting step in PA is derived by analytically…

Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…

We propose an equilibrium model of ski resorts where users are assigned to cycles in a closed network. As queues form on lifts with limited capacity, we derive an efficient way to find waiting times via convex optimization. The equilibrium…