All adapted topologies are equal

DOI10.1007/s00440-020-00993-8zbMath1476.60079arXiv1905.00368OpenAlexW2942949268WikidataQ114229365 ScholiaQ114229365MaRDI QIDQ2210750

Yanyan Li

Publication date: 8 November 2020

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.00368

zbMATH Keywords

causal optimal transportnested distanceAldous' extended weak topologyHellwig's information topologystability of optimal stoppingVershik's iterated Kantorovich distance

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

Approximation of martingale couplings on the line in the adapted weak topology ⋮ Geometry of information structures, strategic measures and associated stochastic control topologies ⋮ Optimal stopping with signatures ⋮ Adapted topologies and higher rank signatures ⋮ Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance ⋮ Computational methods for adapted optimal transport ⋮ Signatures, Lipschitz-Free Spaces, and Paths of Persistence Diagrams ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ Stability of the weak martingale optimal transport problem ⋮ Quantization and martingale couplings ⋮ Wasserstein perturbations of Markovian transition semigroups ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ A note on the adapted weak topology in discrete time ⋮ Designing universal causal deep learning models: The geometric (Hyper)transformer ⋮ Kantorovich type topologies on spaces of measures and convergence of barycenters ⋮ Regularity and Stability of Feedback Relaxed Controls ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control ⋮ Estimating processes in adapted Wasserstein distance ⋮ Stability of martingale optimal transport and weak optimal transport

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