Optimal transportation under controlled stochastic dynamics (Q378799): Difference between revisions

The authors consider an extension of the Monge-Kantorovich mass transportation problem. The mass is transported by continuous semimartingales with given initial and terminal distributions. The cost of transportation depends on the drift and diffusion coefficients of the semimartingale. A duality result is stated extending previous work of \textit{T. Mikami} and \textit{M. Thieullen} [Stochastic Processes Appl. 116, No. 12, 1815--1835 (2006; Zbl 1118.93056)]. A numerical finite-difference scheme is proposed to approximate the dual value, and a convergence result is established. Finally, an application is given to approximate no-arbitrage bounds on the prices of exotic options given by the implied volatility curve of some maturity.