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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| Property / DOI: 10.1016/J.SPA.2019.08.009 / rank | |||
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Latest revision as of 22:52, 17 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization |
scientific article |
Statements
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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