Reciprocal specific relative entropy between continuous martingales

DOI10.1214/26-ECP777MaRDI QIDQ7285881zbMATH OpenFDO

Authors Julio D. Backhoff Veraguas, Xin Zhang

Publication date 22 June 2026

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-communications-in-probability/volume-31/issue-none/Reciprocal-specific-relative-entropy-between-continuous-martingales/10.1214/26-ECP777.full

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Cites work

• A Benamou-Brenier formulation of martingale optimal transport
• A scaling limit for utility indifference prices in the discretised Bachelier model
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Arbitrage and duality in nondominated discrete-time models
• Calibrating volatility surfaces via relative-entropy minimization
• Complete duality for martingale optimal transport on the line
• Fine properties of the optimal Skorokhod embedding problem
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 52983 (Why is no real title available?)
• Martingale Benamou-Brenier: a probabilistic perspective
• Model-independent bounds for option prices -- a mass transport approach
• On the specific relative entropy between martingale diffusions on the line
• Optimal couplings on Wiener space and an extension of Talagrand's transport inequality
• Optimal transport and Skorokhod embedding
• Optimal transportation under controlled stochastic dynamics
• Option pricing with linear market impact and nonlinear Black-Scholes equations
• Orthogonal polynomials.
• Path dependent optimal transport and model calibration on exotic derivatives
• Randomness and early termination: what makes a game exciting?
• Robust bounds for forward start options
• Scaling limits for exponential hedging in the Brownian framework
• Shadow couplings
• The most exciting game
• Using prediction market data to illustrate undergraduate probability

This page was built for publication: Reciprocal specific relative entropy between continuous martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7285881)