A Markov-functional construction with a level-dependent drift on a flow variable calibrates time-homogeneous or continuous local volatility models to a discrete set of marginals.
and Samperi, D., Calibrating volatility surfaces via relative-entropy minimization, Applied Mathematical Finance, Vol
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Markov-Functional Models with Local Drift
A Markov-functional construction with a level-dependent drift on a flow variable calibrates time-homogeneous or continuous local volatility models to a discrete set of marginals.