Sensitivitycot
A new preprint on the sensitivity of causal DRO is now available. We introduce a pathwise Malliavin deriviative and extend the adjoint operator, Skorokhod integral, to a class of regular martingale integrators.
A new preprint on the sensitivity of causal DRO is now available. We introduce a pathwise Malliavin deriviative and extend the adjoint operator, Skorokhod integral, to a class of regular martingale integrators.