A note on the adapted weak topology in discrete time

DOI10.1214/23-ecp572arXiv2205.00989OpenAlexW4390662315MaRDI QIDQ6186436

Gudmund Pammer

Publication date: 2 February 2024

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.00989

zbMATH Keywords

stochastic processesadapted weak topology

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Foundations of stochastic processes (60G05) Optimal transportation (49Q22)

Cites Work

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• Adapted Wasserstein distances and stability in mathematical finance
• Weak monotone rearrangement on the line
• All adapted topologies are equal
• Existence, duality, and cyclical monotonicity for weak transport costs
• Kantorovich duality for general transport costs and applications
• On a Wasserstein-type distance between solutions to stochastic differential equations
• Sequential decisions under uncertainty and the maximum theorem
• A Distance For Multistage Stochastic Optimization Models
• Adapted Probability Distributions
• Foundations of Modern Probability
• Causal Transport in Discrete Time and Applications
• Causal transport plans and their Monge–Kantorovich problems
• Optimal Transport
• Adapted topologies and higher rank signatures

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