In this paper we develop two numerical methods for optimal stopping in the framework of one dimensional diffusion. Both of the methods use the Skorohod embedding in order to construct recombining tree approximations for diffusions with general coefficients. This technique allows us to determine...

We consider an optimal investment problem for an investor facing both constant and proportional transaction costs and study the limit as the constant cost tends to zero. Combining the stochastic Perron's method with stability arguments for viscosity solutions, we show that the value function...

Given two probability measures on sequential data, we investigate the transport problem with time-inconsistent preferences under a discrete-time setting. Motivating examples are nonlinear objectives, state-dependent costs, and regularized optimal transport with general f-divergence. Under the...

In this paper, we develop the theory of functional generation of portfolios in an equity market of a changing dimension. By introducing dimensional jumps in the market, as well as jumps in stock capitalization between the dimensional jumps, we construct different types of self-financing stock...