Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Tongseok Lim"'
Autor:
Tongseok Lim
Publikováno v:
Mathematical Programming.
The theory of Optimal Transport (OT) and Martingale Optimal Transport (MOT) were inspired by problems in economics and finance and have flourished over the past decades, making significant advances in theory and practice. MOT considers the problem of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b9db1cc2967215bda22d285ab0b84bfd
https://doi.org/10.1007/s10107-023-01954-4
https://doi.org/10.1007/s10107-023-01954-4
Autor:
Tongseok Lim, Robert J. McCann
Publikováno v:
SIAM Journal on Discrete Mathematics. 36:1093-1101
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8825f6bc66a6051661b29dbb3844de9f
https://doi.org/10.1137/21m1403163
https://doi.org/10.1137/21m1403163
Autor:
Tongseok Lim, Robert J. McCann
Publikováno v:
Mathematics of Operations Research. 47:286-296
We bound the variance and other moments of a random vector based on the range of its realizations, thus generalizing inequalities of Popoviciu and of Bhatia and Davis concerning measures on the line to several dimensions. This is done using convex du
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0a29b60bbe89186918656c9084f3f14a
https://doi.org/10.1287/moor.2021.1125
https://doi.org/10.1287/moor.2021.1125
Autor:
Tongseok Lim, Robert J. McCann
Publikováno v:
Probability Theory and Related Fields. 184:1197-1214
Among probability measures on $d$-dimensional real projective space, one which maximizes the expected angle $\arccos(\frac{x}{|x|}\cdot \frac{y}{|y|})$ between independently drawn projective points $x$ and $y$ was conjectured to equidistribute its ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c20efcc3bdf4e0bbdac231347bc244fc
https://doi.org/10.1007/s00440-022-01108-1
https://doi.org/10.1007/s00440-022-01108-1
Autor:
Tongseok Lim, Robert J. McCann
Publikováno v:
Archive for Rational Mechanics and Analysis. 241:553-576
Consider a collection of particles interacting through an attractive-repulsive potential given as a difference of power laws and normalized so that its unique minimum occurs at unit separation. For a range of exponents corresponding to mild repulsion
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b469088a8e783fa2a52e0bdb554e40e5
https://doi.org/10.1007/s00205-021-01632-9
https://doi.org/10.1007/s00205-021-01632-9
Autor:
Tongseok Lim, Robert J. McCann
Publikováno v:
Applied Mathematics & Optimization. 84:3217-3227
Choose $N$ unoriented lines through the origin of ${\bf R}^{d+1}$. The sum of the angles between these lines is conjectured to be maximized if the lines are distributed as evenly as possible amongst the coordinate axes of some orthonormal basis for $
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e6acda514034a908b0c76bbea0d5a8a3
https://doi.org/10.1007/s00245-020-09745-5
https://doi.org/10.1007/s00245-020-09745-5
Publikováno v:
SIAM Journal on Financial Mathematics. 12:158-188
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two numerical meth
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2612698b9c313a8c2c8ff0d6e7743def
https://doi.org/10.1137/19m1286256
https://doi.org/10.1137/19m1286256
Publikováno v:
SIAM Journal on Control and Optimization. 58:2765-2789
Given two probability measures $\mu, \nu$ on $\mathbb{R}^d$, in subharmonic order, we describe optimal stopping times $\tau$ that maximize/minimize the cost functional $\mathbb{E} |B_0 - B_\tau|^{\alpha}$, $\alpha > 0$, where $(B_t)_t$ is Brownian mo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e442b875f6994364c73fc266dd3a2b54
https://doi.org/10.1137/19m1270513
https://doi.org/10.1137/19m1270513
Autor:
Tongseok Lim
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3befc5d880854d6a5febf6443a770d09
https://doi.org/10.2139/ssrn.4056309
https://doi.org/10.2139/ssrn.4056309
Densities of particles on $\Rn$ which interact pairwise through an attractive-repulsive power-law potential $W_{\al,\bt}(x) = |x|^\al/\al-|x|^\bt/\bt$ have often been used to explain patterns produced by biological and physical systems. In the mildly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a14cbea39ddb0347f4dbb3aba5d1ccc2
http://arxiv.org/abs/2109.07091
http://arxiv.org/abs/2109.07091
