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)
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