Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (Q2309594): Difference between revisions

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Property / DOI: 10.1016/j.spa.2019.08.009 / rank
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Latest revision as of 22:52, 17 December 2024

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Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
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    Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (English)
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    1 April 2020
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    causal transport plan
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    semimartingale decomposition
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    filtration enlargement
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    stochastic optimization
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    robust bounds
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    value of information
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