Imagen de Portada

The Martingale Sinkhorn Algorithm

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Hasenbichler, Manuel, Joseph, Benjamin, Loeper, Gregoire, Obloj, Jan, Pammer, Gudmund
Formato:	Preprint
Publicado:	2023
Materias:	Computational Finance Probability 49Q22, 60G44, 65K10, 90C46
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
por: Backhoff, Julio, et al.
Publicado: (2024)

Dynamic reinsurance via martingale transport
por: Acciaio, Beatrice, et al.
Publicado: (2026)

Strassen's theorem for biased convex order
por: Acciaio, Beatrice, et al.
Publicado: (2025)

Multi-Period Martingale Optimal Transport: Classical Theory, Neural Acceleration, and Financial Applications
por: B, Sri Sairam Gautam
Publicado: (2026)

Quantitative Fundamental Theorem of Asset Pricing
por: Acciaio, Beatrice, et al.
Publicado: (2022)

Calibration of the Bass Local Volatility model
por: Acciaio, Beatrice, et al.
Publicado: (2023)

Entropic adapted Wasserstein distance on Gaussians
por: Acciaio, Beatrice, et al.
Publicado: (2024)

Information-Based Martingale Optimal Transport
por: Kassis, Georges, et al.
Publicado: (2024)

First order Martingale model risk and semi-static hedging
por: Sauldubois, Nathan, et al.
Publicado: (2024)

Space-time transport of Brownian exit laws
por: Boudabra, Maher
Publicado: (2026)

Stochastic parallel transport on the Wasserstein space and equivariant diffusions on the group of diffeomorphisms over a closed Riemannian manifold
por: Martin, Aymeric
Publicado: (2025)

Arcade Processes for Informed Martingale Interpolation
por: Kassis, Georges, et al.
Publicado: (2023)

Tighter Learning Guarantees on Digital Computers via Concentration of Measure on Finite Spaces
por: Kratsios, Anastasis, et al.
Publicado: (2024)

Fractional Sobolev processes on Wasserstein spaces and their energy-minimizing particle representations with applications
por: Abedi, Ehsan
Publicado: (2025)

A transfer principle for computing the adapted Wasserstein distance between stochastic processes
por: Jiang, Yifan, et al.
Publicado: (2025)

Nonlinear Vlasov-Fokker-Planck equations: From generalized Wasserstein gradient flow to GENERIC structure
por: Liu, Zhenxin, et al.
Publicado: (2026)

Wasserstein Mirror Gradient Flow as the limit of the Sinkhorn Algorithm
por: Deb, Nabarun, et al.
Publicado: (2023)

The Brownian marble
por: Johnston, Samuel G. G., et al.
Publicado: (2025)

Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections
por: Blanchet, Jose, et al.
Publicado: (2025)

Rough Martingale Optimal Transport: Theory, Implementation, and Regulatory Applications for Non-Modelable Risk Factors
por: B., Sri Sairam Gautam, et al.
Publicado: (2026)

Geometry and analytic properties of the sliced Wasserstein space
por: Park, Sangmin, et al.
Publicado: (2023)

Sampleability transport, nonlinear regularization, and the porous medium flow
por: Lam, Hy P. G.
Publicado: (2026)

On the geometry and dynamical formulation of the Sinkhorn algorithm for optimal transport
por: Modin, Klas
Publicado: (2023)

Efficient Numerical Strategies for Entropy-Regularized Semi-Discrete Optimal Transport
por: Khamlich, Moaad, et al.
Publicado: (2025)

A trajectorial approach to the gradient flow of McKean-Vlasov SDEs with mobility
por: Liu, Zhenxin, et al.
Publicado: (2025)

Quantitative equidistribution of eigenvalues of Random Normal Matrices in the Wasserstein distance
por: Arias, P. García
Publicado: (2026)

Massive Particle Systems, Wasserstein Brownian Motions, and the Dean-Kawasaki Equation
por: Schiavo, Lorenzo Dello
Publicado: (2024)

Martingale measure associated with the critical $2d$ stochastic heat flow
por: Nakashima, Makoto
Publicado: (2025)

An Efficient Augmented Lagrangian Method for Dynamic Optimal Transport on Surfaces Based on Second-Order Cone Programming
por: Chen, Liang, et al.
Publicado: (2025)

On the Uniqueness of Kantorovich Potentials
por: Staudt, Thomas, et al.
Publicado: (2022)

The Gundy-Stein decomposition with explicit constants
por: Hormozi, Mahdi, et al.
Publicado: (2026)

Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport
por: Engström, Linn, et al.
Publicado: (2024)

Rough differential equations for volatility
por: Bonesini, Ofelia, et al.
Publicado: (2024)

Multi-dimensional fractional Brownian motion in the G-setting
por: Biagini, Francesca, et al.
Publicado: (2023)

Rough volatility, path-dependent PDEs and weak rates of convergence
por: Bonesini, Ofelia, et al.
Publicado: (2023)

Ergodic robust maximization of asymptotic growth with stochastic factor processes
por: Itkin, David, et al.
Publicado: (2022)

Open Markets and Hybrid Jacobi Processes
por: Itkin, David, et al.
Publicado: (2021)

Computing Optimal Trajectories for Optimal Transport in Nonuniform Environments
por: Dieci, Luca, et al.
Publicado: (2025)

A regularized Kellerer theorem in arbitrary dimension
por: Pammer, Gudmund, et al.
Publicado: (2022)

Sliced Wasserstein Geodesics and Equivalence Wasserstein and Sliced Wasserstein metrics
por: Hopper, John Seale
Publicado: (2024)