Fundamental properties of process distances

DOI10.1016/j.spa.2020.03.017zbMath1454.60048arXiv1701.03955OpenAlexW3016832606MaRDI QIDQ2196379

Mathias Beiglböck, Julio Backhoff-Veraguas, Manu Eder, Alois Pichler

Publication date: 2 September 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.03955

zbMATH Keywords

martingalesoptimal transportinformation topologynested distancecausal Wasserstein distance

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic processes (60G99) Foundations of stochastic processes (60G05)

Related Items (8)

Adapted topologies and higher rank signatures ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ Stability of the weak martingale optimal transport problem ⋮ All adapted topologies are equal ⋮ Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective ⋮ Adapted Wasserstein distances and stability in mathematical finance ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ Stability of martingale optimal transport and weak optimal transport

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