{"id":"https://openalex.org/W4392911169","doi":"https://doi.org/10.1137/23m1555697","title":"Minimal Kullback\u2013Leibler Divergence for Constrained L\u00e9vy\u2013It\u00f4 Processes","display_name":"Minimal Kullback\u2013Leibler Divergence for Constrained L\u00e9vy\u2013It\u00f4 Processes","publication_year":2024,"publication_date":"2024-03-18","ids":{"openalex":"https://openalex.org/W4392911169","doi":"https://doi.org/10.1137/23m1555697"},"language":"en","primary_location":{"id":"doi:10.1137/23m1555697","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1555697","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5016897782","display_name":"Sebastian Jaimungal","orcid":"https://orcid.org/0000-0002-0193-0993"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Sebastian Jaimungal","raw_affiliation_strings":["Department of Statistical Sciences, University of Toronto, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistical Sciences, University of Toronto, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5005873558","display_name":"Silvana M. Pesenti","orcid":"https://orcid.org/0000-0002-6661-6970"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Silvana M. Pesenti","raw_affiliation_strings":["Department of Statistical Sciences, University of Toronto, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistical Sciences, University of Toronto, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5034175798","display_name":"Leandro S\u00e1nchez-Betancourt","orcid":"https://orcid.org/0000-0001-6447-7105"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Leandro S\u00e1nchez-Betancourt","raw_affiliation_strings":["Mathematical Institute, University of Oxford and Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, England"],"affiliations":[{"raw_affiliation_string":"Mathematical Institute, University of Oxford and Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, England","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5016897782"],"corresponding_institution_ids":["https://openalex.org/I185261750"],"apc_list":null,"apc_paid":null,"fwci":2.58,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.88967447,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":97},"biblio":{"volume":"62","issue":"2","first_page":"982","last_page":"1005"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9955000281333923,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9955000281333923,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9936000108718872,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9765999913215637,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.778132438659668},{"id":"https://openalex.org/keywords/kullback\u2013leibler-divergence","display_name":"Kullback\u2013Leibler divergence","score":0.7102502584457397},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.6445821523666382},{"id":"https://openalex.org/keywords/probability-measure","display_name":"Probability measure","score":0.6338311433792114},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.6205106973648071},{"id":"https://openalex.org/keywords/uniqueness","display_name":"Uniqueness","score":0.6098509430885315},{"id":"https://openalex.org/keywords/divergence","display_name":"Divergence (linguistics)","score":0.46379974484443665},{"id":"https://openalex.org/keywords/quantile","display_name":"Quantile","score":0.4256436824798584},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.42024755477905273},{"id":"https://openalex.org/keywords/risk-process","display_name":"Risk process","score":0.41837361454963684},{"id":"https://openalex.org/keywords/entropy","display_name":"Entropy (arrow of time)","score":0.41249871253967285},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.40436089038848877},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3222932815551758},{"id":"https://openalex.org/keywords/discrete-mathematics","display_name":"Discrete mathematics","score":0.2637917995452881},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.24697434902191162},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1725122332572937},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.084413081407547}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.778132438659668},{"id":"https://openalex.org/C171752962","wikidata":"https://www.wikidata.org/wiki/Q255166","display_name":"Kullback\u2013Leibler divergence","level":2,"score":0.7102502584457397},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.6445821523666382},{"id":"https://openalex.org/C21031990","wikidata":"https://www.wikidata.org/wiki/Q355020","display_name":"Probability measure","level":2,"score":0.6338311433792114},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.6205106973648071},{"id":"https://openalex.org/C2777021972","wikidata":"https://www.wikidata.org/wiki/Q22976830","display_name":"Uniqueness","level":2,"score":0.6098509430885315},{"id":"https://openalex.org/C207390915","wikidata":"https://www.wikidata.org/wiki/Q1230525","display_name":"Divergence (linguistics)","level":2,"score":0.46379974484443665},{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.4256436824798584},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.42024755477905273},{"id":"https://openalex.org/C2987652123","wikidata":"https://www.wikidata.org/wiki/Q17082609","display_name":"Risk process","level":2,"score":0.41837361454963684},{"id":"https://openalex.org/C106301342","wikidata":"https://www.wikidata.org/wiki/Q4117933","display_name":"Entropy (arrow of time)","level":2,"score":0.41249871253967285},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.40436089038848877},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3222932815551758},{"id":"https://openalex.org/C118615104","wikidata":"https://www.wikidata.org/wiki/Q121416","display_name":"Discrete mathematics","level":1,"score":0.2637917995452881},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.24697434902191162},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1725122332572937},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.084413081407547},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/23m1555697","is_oa":false,"landing_page_url":"https://doi.org/10.1137/23m1555697","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1359752570","display_name":null,"funder_award_id":"RGPIN-2018-05705","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"},{"id":"https://openalex.org/G6545586602","display_name":null,"funder_award_id":"DGECR-2020-00333","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"},{"id":"https://openalex.org/G6981648434","display_name":null,"funder_award_id":"RGPIN-2020-04289","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"},{"id":"https://openalex.org/G761669796","display_name":null,"funder_award_id":"RGPAS-2018-522715","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"}],"funders":[{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W175559256","https://openalex.org/W644980940","https://openalex.org/W1693992350","https://openalex.org/W1946361304","https://openalex.org/W1957765303","https://openalex.org/W1971837457","https://openalex.org/W1977600059","https://openalex.org/W2001392448","https://openalex.org/W2015230180","https://openalex.org/W2017392078","https://openalex.org/W2032558547","https://openalex.org/W2061422507","https://openalex.org/W2082028133","https://openalex.org/W2112592468","https://openalex.org/W2120024499","https://openalex.org/W2160709761","https://openalex.org/W2526211056","https://openalex.org/W2621596310","https://openalex.org/W2785385273","https://openalex.org/W3022439851","https://openalex.org/W3047231416","https://openalex.org/W3105365006","https://openalex.org/W3122895457","https://openalex.org/W3123065937","https://openalex.org/W3124521936","https://openalex.org/W3157174460","https://openalex.org/W4213199439","https://openalex.org/W4388894529"],"related_works":["https://openalex.org/W1488761988","https://openalex.org/W2044551864","https://openalex.org/W1572557500","https://openalex.org/W3124946120","https://openalex.org/W4390690393","https://openalex.org/W2047938026","https://openalex.org/W2585269888","https://openalex.org/W2617544481","https://openalex.org/W1865390738","https://openalex.org/W2963863608"],"abstract_inverted_index":{".Given":[0],"an":[1,71,111,120,123],"\\(n\\)-dimensional":[2],"stochastic":[3],"process":[4],"\\(\\boldsymbol{X}\\)":[5],"driven":[6],"by":[7,134],"\\(\\mathbb{P}\\)-Brownian":[8],"motions":[9],"and":[10,34,42,57,62,89,140],"Poisson":[11],"random":[12],"measures,":[13],"we":[14],"search":[15],"for":[16,74],"a":[17,82,96,107,135,146],"probability":[18,47,156],"measure":[19,55],"\\(\\mathbb{Q}\\),":[20],"with":[21],"minimal":[22],"relative":[23],"entropy":[24],"to":[25,80,85,113,126],"\\(\\mathbb{P}\\),":[26],"such":[27],"that":[28,91],"the":[29,45,50,54,59,66,116,128,138,141,149],"\\(\\mathbb{Q}\\)-expectations":[30],"of":[31,44,53,99,137],"some":[32],"terminal":[33],"running":[35],"costs":[36],"are":[37,104,132],"constrained.":[38],"We":[39,69],"prove":[40],"existence":[41],"uniqueness":[43],"optimal":[46,60,67,100,117],"measure,":[48],"derive":[49],"explicit":[51],"form":[52],"change,":[56],"characterize":[58],"drift":[61],"compensator":[63],"adjustments":[64],"under":[65,115],"measure.":[68],"provide":[70],"analytical":[72],"solution":[73],"Value-at-Risk":[75,139],"(quantile)":[76],"constraints,":[77],"discuss":[78],"how":[79],"perturb":[81],"Brownian":[83],"motion":[84],"have":[86],"arbitrary":[87],"variance,":[88],"show":[90],"pinned":[92],"measures":[93],"arise":[94],"as":[95],"limiting":[97],"case":[98],"measures.":[101],"The":[102],"results":[103],"illustrated":[105],"in":[106],"risk":[108],"management":[109],"setting\u2014including":[110],"algorithm":[112],"simulate":[114],"measure\u2014and":[118],"explore":[119],"example":[121],"where":[122],"agent":[124],"seeks":[125],"answer":[127],"question":[129],"what":[130],"dynamics":[131],"induced":[133],"perturbation":[136],"average":[142],"time":[143],"spent":[144],"below":[145],"barrier":[147],"on":[148],"reference":[150],"process?Keywordscontrolled":[151],"L\u00e9vy\u2013It\u00f4":[152],"processesKullback\u2013Leibler":[153],"divergencerisk":[154],"managementoptimal":[155],"measuresMSC":[157],"codes60G510G5790C39":[158]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}