Generalized bridges with constraints solve Schrödinger problems, enabling broader financial equilibrium models with frictions and proving convergence of trading-cost equilibria to the classical Kyle model.
On a Condition that One-Dimensional Diffusion Processes are Martingales
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Schr\"odinger's problem with constraints
Generalized bridges with constraints solve Schrödinger problems, enabling broader financial equilibrium models with frictions and proving convergence of trading-cost equilibria to the classical Kyle model.