Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
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Publication:2309594
DOI10.1016/j.spa.2019.08.009zbMath1435.90012arXiv1611.02610OpenAlexW2972136482WikidataQ127319692 ScholiaQ127319692MaRDI QIDQ2309594
J. Backhoff-Veraguas, A. Zalashko, Beatrice Acciaio
Publication date: 1 April 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.02610
stochastic optimizationvalue of informationfiltration enlargementsemimartingale decompositionrobust boundscausal transport plan
Stochastic programming (90C15) Transportation, logistics and supply chain management (90B06) Brownian motion (60J65)
Related Items (10)
Weak monotone rearrangement on the line ⋮ Dynamic Cournot-Nash equilibrium: the non-potential case ⋮ Fundamental properties of process distances ⋮ All adapted topologies are equal ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Cournot--Nash Equilibrium and Optimal Transport in a Dynamic Setting ⋮ Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective ⋮ Adapted Wasserstein distances and stability in mathematical finance ⋮ Doob decomposition, Dirichlet processes, and entropies on Wiener space ⋮ Stability of martingale optimal transport and weak optimal transport
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