arXiv subjects
Publications and source records attributed to Ze-An Ng.
We show that every optimal transport plan for the $1$-Wasserstein distance in $\mathbb R^n$ is supported on a closed $n+1$ rectifiable set. In particular, the support of any optimal plan has Hausdorff dimension at most $n+1$.
Let $\Omega$ be an open subset of $\mathbb R^n$, and let $f: \Omega \to \mathbb R$ be differentiable $\mathcal H^k$-almost everywhere, for some nonnegative integer $k < n$, where $\mathcal H^k$ denotes the $k$-dimensional Hausdorff measure. We show that $\|\nabla f\|_{L^\infty (\mathcal H^k)} = \|\nabla f\|_{L^\infty(\mathcal H^n)}.$ We deduce that convergence in the Sobolev space $W^{1, \infty}$ preserves everywhere differentiability.
We investigate the limiting distribution of geometric Brownian motion conditional on its running maximum taking large values. The Freidlin-Wentzell large deviations theory predicts that the conditional distribution of the sample paths converge weakly to a deterministic exponential curve. We complement this result by showing that the conditional sample paths in fact converge in strong sense, and obtain quantitative bounds on the rate of convergence. As an application of our results to financial mathematics, we obtain new closed form asymptotic formulae for the fair price of barrier options with general path dependent payoff in the short maturity limit, with quantitative error estimates. We provide exact formulae for Asian and lookback style payoffs.