Related papers: Schr\"odinger's problem with constraints
We establish relationships between the classical moments problems which are problems of a construction of a measure supported on a real line, on a half-line or on an interval from prescribed set of moments with the Boundary control approach…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
The final purpose of this paper is to show that, by inserting a convexity constraint on the cables of a suspension bridge, the torsional instability of the deck appears at lower energy thresholds. Since this constraint is suggested by the…
This paper exploit the equivalence between the Schr\"odinger Bridge problem and the entropy penalized optimal transport in order to find a different approach to the duality, in the spirit of optimal transport. This approach results in a…
We derive new limit theorems for Brownian motion, which can be seen as non-exponential analogues of the large deviation theorems of Sanov and Schilder in their Laplace principle forms. As a first application, we obtain novel scaling limits…
We consider a directed random walk making either 0 or $+1$ moves and a Brownian bridge, independent of the walk, conditioned to arrive at point $b$ on time $T$. The Hamiltonian is defined as the sum of the square of increments of the bridge…
We propose a procedure for estimating the Schr\"odinger bridge between two probability distributions. Unlike existing approaches, our method does not require iteratively simulating forward and backward diffusions or training neural networks…
We consider several critical wetting models. In the discrete case, these probability laws are known to converge, after an appropriate rescaling, to the law of a reflecting Brownian motion, or of the modulus of a Brownian bridge, according…
Numerical solutions of the time-dependent Schr\"odinger equation based on the variational principle may offer physical insight that cannot be gained by a solution using fixed grids in position and momentum space. Here we focus on the…
In this paper, we introduce an extension of a Brownian bridge with a random length by including uncertainty also in the pinning level of the bridge. The main result of this work is that unlike for deterministic pinning point, the bridge…
We derive closed-form solutions to the optimal stopping problems related to the pricing of perpetual American standard and lookback put and call options in the extensions of the Black-Merton-Scholes model with progressively enlarged…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…
Schr\"{o}dinger bridge can be viewed as a continuous-time stochastic control problem where the goal is to find an optimally controlled diffusion process whose terminal distribution coincides with a pre-specified target distribution. We…
The Entropic Optimal Transport (EOT) problem and its dynamic counterpart, the Schr\"odinger bridge (SB) problem, play an important role in modern machine learning, linking generative modeling with optimal transport theory. While recent…
For the classical principal chiral model with boundary, we give the subset of the Yangian charges which remains conserved under certain integrable boundary conditions, and extract them from the monodromy matrix. Quantized versions of these…
In this paper, we explore cooperative and competitive coupled obstacle systems, which, up to now, are new type obstacle systems and formed by coupling two equations belonging to classical obstacle problem. On one hand, applying the…
We provide a solution to the problem of optimal transport by Brownian martingales in general dimensions whenever the transport cost satisfies certain subharmonic properties in the target variable, as well as a stochastic version of the…
In this paper, we consider the large deviations for dynamical Schr\"odinger problems, using the variational approach developed by Dupuis, Ellis, Budhiraja, and others. Recent results on scaled families of Schr\"odinger problems, in…
The analogies between economics and classical mechanics can be extended from constrained optimization to constrained dynamics by formalizing economic (constraint) forces and economic power in analogy to physical (constraint) forces in…
In this paper, we study the Ornstein-Uhlenbeck bridge process (i.e. the Ornstein-Uhlenbeck process conditioned to start and end at fixed points) constraints to have a fixed area under its path. We present both anticipative (in this case, we…