Bridging classical and martingale Schrödinger bridges
Fuente:
arXiv
Guardado en:
| Autores principales: | Backhoff, Julio, Beiglböck, Mathias, Bifronte, Giorgia, Ley, Armand |
|---|---|
| Formato: | Preprint |
| Publicado: |
2026
|
| Materias: | |
| Acceso en línea: | |
| 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)
por: Backhoff, Julio, et al.
Publicado: (2024)
Existence of Bass martingales and the martingale Benamou$-$Brenier problem in $\mathbb{R}^{d}$
por: Backhoff-Veraguas, Julio, et al.
Publicado: (2023)
por: Backhoff-Veraguas, Julio, et al.
Publicado: (2023)
$q$-Bass martingales
por: Tschiderer, Bertram
Publicado: (2024)
por: Tschiderer, Bertram
Publicado: (2024)
The decomposition of stretched Brownian motion into Bass martingales
por: Schachermayer, Walter, et al.
Publicado: (2024)
por: Schachermayer, Walter, et al.
Publicado: (2024)
Strassen's theorem for biased convex order
por: Acciaio, Beatrice, et al.
Publicado: (2025)
por: Acciaio, Beatrice, et al.
Publicado: (2025)
Convergence rates for Backward SDEs driven by Lévy processes
por: Liu, Chenguang, et al.
Publicado: (2024)
por: Liu, Chenguang, et al.
Publicado: (2024)
Model-independent upper bounds for the prices of Bermudan options with convex payoffs
por: Hobson, David, et al.
Publicado: (2025)
por: Hobson, David, et al.
Publicado: (2025)
A Càdlàg Rough Path Foundation for Robust Finance
por: Allan, Andrew L., et al.
Publicado: (2021)
por: Allan, Andrew L., et al.
Publicado: (2021)
On the integrability of the supremum of stochastic volatility models and other martingales
por: Gerhold, Stefan, et al.
Publicado: (2024)
por: Gerhold, Stefan, et al.
Publicado: (2024)
Stretched Brownian Motion: convergence of dual optimising sequences
por: Schachermayer, Walter, et al.
Publicado: (2025)
por: Schachermayer, Walter, et al.
Publicado: (2025)
On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
por: Xodarev, Akmal
Publicado: (2026)
por: Xodarev, Akmal
Publicado: (2026)
The McCormick martingale optimal transport
por: Bayraktar, Erhan, et al.
Publicado: (2024)
por: Bayraktar, Erhan, et al.
Publicado: (2024)
Linear short rate model with several delays
por: Roux, Alet, et al.
Publicado: (2024)
por: Roux, Alet, et al.
Publicado: (2024)
Robust Hedging of American Options via Aggregated Snell Envelopes
por: Rodrigues, Marco
Publicado: (2025)
por: Rodrigues, Marco
Publicado: (2025)
Consumption-Investment Problem in Rank-Based Models
por: Itkin, David
Publicado: (2025)
por: Itkin, David
Publicado: (2025)
Sensitivity of causal distributionally robust optimization
por: Jiang, Yifan, et al.
Publicado: (2024)
por: Jiang, Yifan, et al.
Publicado: (2024)
Admissible Information Structures and the Non-Existence of Global Martingale Pricing
por: Dominguez, Alejandro Rodriguez
Publicado: (2026)
por: Dominguez, Alejandro Rodriguez
Publicado: (2026)
The fundamental theorem of asset pricing with and without transaction costs
por: Kühn, Christoph
Publicado: (2023)
por: Kühn, Christoph
Publicado: (2023)
On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
por: Kabanov, Yuri, et al.
Publicado: (2025)
por: Kabanov, Yuri, et al.
Publicado: (2025)
Efficient simulation of a new class of Volterra-type SDEs
por: Bonesini, Ofelia, et al.
Publicado: (2023)
por: Bonesini, Ofelia, et al.
Publicado: (2023)
Rough PDEs for local stochastic volatility models
por: Bank, Peter, et al.
Publicado: (2023)
por: Bank, Peter, et al.
Publicado: (2023)
Pricing and hedging for a sticky diffusion
por: Anagnostakis, Alexis
Publicado: (2023)
por: Anagnostakis, Alexis
Publicado: (2023)
Criteria for the absence of arbitrage in general diffusion markets
por: Criens, David, et al.
Publicado: (2023)
por: Criens, David, et al.
Publicado: (2023)
Primal and dual optimal stopping with signatures
por: Bayer, Christian, et al.
Publicado: (2023)
por: Bayer, Christian, et al.
Publicado: (2023)
No arbitrage and the existence of ACLMMs in general diffusion models
por: Criens, David, et al.
Publicado: (2024)
por: Criens, David, et al.
Publicado: (2024)
A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
por: Pra, Paolo Dai, et al.
Publicado: (2025)
por: Pra, Paolo Dai, et al.
Publicado: (2025)
Exponential stock models driven by tempered stable processes
por: Küchler, Uwe, et al.
Publicado: (2019)
por: Küchler, Uwe, et al.
Publicado: (2019)
Option pricing in bilateral Gamma stock models
por: Küchler, Uwe, et al.
Publicado: (2019)
por: Küchler, Uwe, et al.
Publicado: (2019)
Bilateral Gamma distributions and processes in financial mathematics
por: Küchler, Uwe, et al.
Publicado: (2019)
por: Küchler, Uwe, et al.
Publicado: (2019)
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
por: Alòs, Elisa, et al.
Publicado: (2025)
por: Alòs, Elisa, et al.
Publicado: (2025)
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
por: Das, Kaustav, et al.
Publicado: (2021)
por: Das, Kaustav, et al.
Publicado: (2021)
Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
por: Figueroa-López, José E., et al.
Publicado: (2025)
por: Figueroa-López, José E., et al.
Publicado: (2025)
Ergodic robust maximization of asymptotic growth with stochastic factor processes
por: Itkin, David, et al.
Publicado: (2022)
por: Itkin, David, et al.
Publicado: (2022)
Open Markets and Hybrid Jacobi Processes
por: Itkin, David, et al.
Publicado: (2021)
por: Itkin, David, et al.
Publicado: (2021)
Calibration of the Bass Local Volatility model
por: Acciaio, Beatrice, et al.
Publicado: (2023)
por: Acciaio, Beatrice, et al.
Publicado: (2023)
Martingales with Independent Increments
por: Delbaen, Freddy
Publicado: (2024)
por: Delbaen, Freddy
Publicado: (2024)
A Monotone Limit Approach to Entropy-Regularized American Options
por: Chee, Daniel, et al.
Publicado: (2026)
por: Chee, Daniel, et al.
Publicado: (2026)
Short-rate models with stochastic discontinuities: a PDE approach
por: Calvia, Alessandro, et al.
Publicado: (2025)
por: Calvia, Alessandro, et al.
Publicado: (2025)
Rough differential equations for volatility
por: Bonesini, Ofelia, et al.
Publicado: (2024)
por: Bonesini, Ofelia, et al.
Publicado: (2024)
Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
por: Alòs, Elisa, et al.
Publicado: (2025)
por: Alòs, Elisa, et al.
Publicado: (2025)
Ejemplares similares
-
Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
por: Backhoff, Julio, et al.
Publicado: (2024) -
Existence of Bass martingales and the martingale Benamou$-$Brenier problem in $\mathbb{R}^{d}$
por: Backhoff-Veraguas, Julio, et al.
Publicado: (2023) -
$q$-Bass martingales
por: Tschiderer, Bertram
Publicado: (2024) -
The decomposition of stretched Brownian motion into Bass martingales
por: Schachermayer, Walter, et al.
Publicado: (2024) -
Strassen's theorem for biased convex order
por: Acciaio, Beatrice, et al.
Publicado: (2025)