A Benamou-Brenier formulation of martingale optimal transport
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Publication:2325339
DOI10.3150/18-BEJ1069zbMath1428.62526arXiv1707.01493MaRDI QIDQ2325339
Dario Trevisan, Martin Huesmann
Publication date: 25 September 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.01493
porous medium equationFokker-Planck equationsmartingale problemmartingale optimal transportStrassen's theorem
Martingales with continuous parameter (60G44) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Optimal transportation (49Q22)
Related Items (7)
Optimal transportation, modelling and numerical simulation ⋮ Calibration of local‐stochastic volatility models by optimal transport ⋮ Entropic Optimal Planning for Path-Dependent Mean Field Games ⋮ Cosh gradient systems and tilting ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Path dependent optimal transport and model calibration on exotic derivatives ⋮ Stability of martingale optimal transport and weak optimal transport
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