Develops Poisson-based generalized specific entropy on Wiener space for martingale transport, proving weak convergence and establishing compactness, existence, strong duality, and a coupled HJB-FP system for the resulting SEMOT problem.
From (martingale) schrodinger bridges to a new class of stochastic volatility models
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Generalized specific entropy on Wiener space with application to Martingale Optimal Transport
Develops Poisson-based generalized specific entropy on Wiener space for martingale transport, proving weak convergence and establishing compactness, existence, strong duality, and a coupled HJB-FP system for the resulting SEMOT problem.