Citation:Cheridito, Patrick, et al. “Martingale Optimal Transport Duality”. Mathematische Annalen (2020). Print.Download CitationBibTex Tagged XML Download MOT Duality.pdf546 KB Last updated on 11/23/2020
Burzoni, Matteo, Frank Riedel, and H. Mete Soner. “Viability and arbitrage under Knightian uncertainty”. Econometrica (Forthcoming). Print. Viability.pdf
Cheridito, Patrick, et al. “Martingale Optimal Transport Duality”. Mathematische Annalen (2020). Print.
Keppo, Jussi, Max Reppen, and H. Mete Soner. “Discrete dividend payments in continuous time”. Mathematics of Operations Research (Forthcoming). Print. Discrete Dividends.pdf
Bouchard, Bruno, et al. “Second order stochastic target problems with generalized market impact”. SIAM Journal on Control and Optimisation 57.6 (2019): , 57, 6, 4125-4149. Print. Impact.pdf
Larsen, Kasper, H. Mete Soner, and Gordan Zitkovic. “Conditional Davis prices”. Finance & Stochastics (2020). Print. Davis prices.pdf
Burzoni, Matteo, et al. “Viscosity solutions for controlled McKean–Vlasov jump-diffusions”. SIAM Journal on Control and Optimization 58.3 (2020): , 58, 3, 1676-1699. Print. McKean-Vlasov with jumps.pdf
Reppen, Max, and H. Mete Soner. “Bias-Variance Trade-off and Overlearning in Dynamic Decision Problems”. (Submitted). Print. Overlearning.pdf