Optimal transportation under controlled stochastic dynamics
From MaRDI portal
Publication:378799
DOI10.1214/12-AOP797zbMath1283.60097arXiv1310.0939OpenAlexW2003977788MaRDI QIDQ378799
Publication date: 12 November 2013
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.0939
Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical problems in dynamical systems (65P99) Numerical methods for mathematical programming, optimization and variational techniques (65K99)
Related Items (48)
Fine properties of the optimal Skorokhod embedding problem ⋮ Robust utility maximization under model uncertainty via a penalization approach ⋮ Option pricing with linear market impact and nonlinear Black-Scholes equations ⋮ Canonical supermartingale couplings ⋮ Optimality conditions in variational form for non-linear constrained stochastic control problems ⋮ The directional optimal transport ⋮ A Variational Characterization of Langevin-Smoluchowski Diffusions ⋮ Portfolio optimization with a prescribed terminal wealth distribution ⋮ Particles systems and numerical schemes for mean reflected stochastic differential equations ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ A model-free no-arbitrage price bound for variance options ⋮ Kantorovich duality for general transport costs and applications ⋮ Two End Points Marginal Problem by Stochastic Optimal Transportation ⋮ Average preserving variation processes in view of optimization ⋮ Calibration of local‐stochastic volatility models by optimal transport ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Entropic Optimal Planning for Path-Dependent Mean Field Games ⋮ Optimal position targeting via decoupling fields ⋮ Interior second derivatives estimates for nonlinear diffusions ⋮ Entropy martingale optimal transport and nonlinear pricing-hedging duality ⋮ Optimal control of martingales in a radially symmetric environment ⋮ Uncertainty Quantification of Derivative Instruments ⋮ The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options ⋮ Causal transport plans and their Monge–Kantorovich problems ⋮ Path dependent optimal transport and model calibration on exotic derivatives ⋮ Regularity of Schrödinger's functional equation in the weak topology and moment measures ⋮ 2017 MATRIX annals ⋮ An intrinsic calculus of variations for functionals of laws of semi-martingales ⋮ Stochastic optimal transport revisited ⋮ Regularity of Schrödinger's functional equation and mean field PDEs for h-path processes ⋮ Pathwise superhedging on prediction sets ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Stochastic optimal transport with free end time ⋮ Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints ⋮ Multiperiod martingale transport ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ Symmetries and Martingales in a Stochastic Model for the Navier-Stokes Equation ⋮ Applications of weak transport theory ⋮ A Benamou-Brenier formulation of martingale optimal transport ⋮ Optimal control of diffusion processes with terminal constraint in law ⋮ Arbitrage and duality in nondominated discrete-time models ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ The maximum maximum of a martingale with given \(n\) marginals ⋮ Stability of martingale optimal transport and weak optimal transport
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A model-free no-arbitrage price bound for variance options
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Duality theorem for the stochastic optimal control problem
- The Skorokhod embedding problem and its offspring
- Tightness results for laws of diffusion processes application to stochastic mechanics
- Stochastic optimal control. The discrete time case
- Robust hedging of the lookback option
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Optimal control for absolutely continuous stochastic processes and the mass transportation problem
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Lectures on Modern Convex Optimization
- Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
- The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
- Weak Dynamic Programming Principle for Viscosity Solutions
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- User’s guide to viscosity solutions of second order partial differential equations
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Representation of Martingales, Quadratic Variation and Applications
- A fast algorithm for the two dimensional HJB equation of stochastic control
- The Existence of Certain Stopping Times on Brownian Motion
- Optimal Transport
This page was built for publication: Optimal transportation under controlled stochastic dynamics
