Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization-Reference-Cited by-同舟云学术

Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization

Published:2020-05 Issue:5 Volume:130 Page:2918-2953
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Acciaio B.,Backhoff-Veraguas J.,Zalashko A.

Funder

Austrian Science Fund

Department of Statistics, LSE, UK

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference56 articles.

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4. D. Aldous, Weak convergence and the general theory of processes (weak convergence of stochastic processes for processes viewed in the Strasbourg manner), unpublished. 1981.

5. Additional logarithmic utility of an insider;Amendinger;Stochastic Process. Appl.,1998

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