The Wasserstein space of stochastic processes

D Bartl, M Beiglböck, G Pammer - Journal of the European Mathematical …, 2024 - ems.press
Wasserstein distance induces a natural Riemannian structure for the probabilities on the
Euclidean space. This insight of classical transport theory is fundamental for tremendous …

Existence of Markov equilibrium control in discrete time

E Bayraktar, B Han - SIAM Journal on Financial Mathematics, 2023 - SIAM
For time-inconsistent stochastic controls in discrete time and finite horizon, an open problem
in Björk and Murgoci [Finance Stoch., 18 (2014), pp. 545–592] is the existence of an …