Entropy Martingale Optimal Transport and McKean-Vlasov equations

Project
Entropy Martingale Optimal Transport and McKean-Vlasov equations

Overview

Contributors

FRITTELLI MARCO   Scientific Manager  

Departments involved

Type

PRIN2022 - PRIN bando 2022

Funder

MINISTERO DELL'UNIVERSITA' E DELLA RICERCA
External Organization Funding Organization

Date/time interval

September 28, 2023 - February 28, 2026

Project duration

29 months

Research Areas

Concepts

Publications

Outputs (4)

On consistency of optimal portfolio choice for state-dependent exponential utilities 
QUANTITATIVE FINANCE
ROUTLEDGE TAYLOR & FRANCIS GROUP
2026
Academic Article
Open Access
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Collective completeness and pricing hedging duality 
MATHEMATICS AND FINANCIAL ECONOMICS
SPRINGER
2025
Academic Article
Partially Open Access
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On Conditioning and Consistency for Nonlinear Functionals 
SIAM JOURNAL ON FINANCIAL MATHEMATICS
SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS (SIAM)
2025
Academic Article
Open Access
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Collective dynamic risk measures 
FRONTIERS OF MATHEMATICAL FINANCE
AMERICAN INSTITUTE OF MATHEMATICAL SCIENCES
2024
Academic Article
Open Access
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