Shadow couplings (Q4992380): Difference between revisions

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+.03340
@@ Property / arXiv ID: 1609.03340 / rank @@
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+Sampling of probability measures in the convex order by Wasserstein projection
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@@ Property / cites work @@
+A new class of costs for optimal transport planning
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@@ Property / cites work @@
+Q3049602
@@ Property / cites work: Q3049602 / rank @@
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@@ Property / cites work @@
+Existence, duality, and cyclical monotonicity for weak transport costs
+Normal rank
@@ Property / cites work @@
+Optimal transport and Skorokhod embedding
@@ Property / cites work: Optimal transport and Skorokhod embedding / rank @@
+Normal rank
@@ Property / cites work @@
+The geometry of multi-marginal Skorokhod embedding
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@@ Property / cites work @@
+A land of monotone plenty
@@ Property / cites work: A land of monotone plenty / rank @@
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@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
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@@ Property / cites work @@
+Monotone martingale transport plans and Skorokhod embedding
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@@ Property / cites work @@
+Root to Kellerer
@@ Property / cites work: Root to Kellerer / rank @@
+Normal rank
@@ Property / cites work @@
+On a problem of optimal transport under marginal martingale constraints
+Normal rank
@@ Property / cites work @@
+Complete duality for martingale optimal transport on the line
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@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
+Normal rank
@@ Property / cites work @@
+Change of numeraire in the two-marginals martingale transport problem
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@@ Property / cites work @@
+Martingale optimal transport and robust hedging in continuous time
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@@ Property / cites work @@
+Curvature and transport inequalities for Markov chains in discrete spaces
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@@ Property / cites work @@
+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
+Normal rank
@@ Property / cites work @@
+On a mixture of Brenier and Strassen Theorems
@@ Property / cites work: On a mixture of Brenier and Strassen Theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Kantorovich duality for general transport costs and applications
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@@ Property / cites work @@
+An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
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@@ Property / cites work @@
+An explicit martingale version of the one-dimensional Brenier theorem
+Normal rank
@@ Property / cites work @@
+Peacocks and associated martingales, with explicit constructions
+Normal rank
@@ Property / cites work @@
+A new proof of Kellerer’s theorem
@@ Property / cites work: A new proof of Kellerer’s theorem / rank @@
+Normal rank
@@ Property / cites work @@
+Q4213425
@@ Property / cites work: Q4213425 / rank @@
+Normal rank
@@ Property / cites work @@
+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
+Normal rank
@@ Property / cites work @@
+Robust price bounds for the forward starting straddle
+Normal rank
@@ Property / cites work @@
+ROBUST BOUNDS FOR FORWARD START OPTIONS
@@ Property / cites work: ROBUST BOUNDS FOR FORWARD START OPTIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Robust bounds for the American put
@@ Property / cites work: Robust bounds for the American put / rank @@
+Normal rank
@@ Property / cites work @@
+The left-curtain martingale coupling in the presence of atoms
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@@ Property / cites work @@
+A new family of one dimensional martingale couplings
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@@ Property / cites work @@
+Peacocks Parametrised by a Partially Ordered Set
@@ Property / cites work: Peacocks Parametrised by a Partially Ordered Set / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of the shadow projection and the left-curtain coupling
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@@ Property / cites work @@
+Martingales associated to peacocks using the curtain coupling
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@@ Property / cites work @@
+Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
+Normal rank
@@ Property / cites work @@
+Q4769744
@@ Property / cites work: Q4769744 / rank @@
+Normal rank
@@ Property / cites work @@
+Stopping times on Brownian motion: Some properties of root's construction
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@@ Property / cites work @@
+On Embedding Right Continuous Martingales in Brownian Motion
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@@ Property / cites work @@
+Canonical supermartingale couplings
@@ Property / cites work: Canonical supermartingale couplings / rank @@
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@@ Property / cites work @@
+Multiperiod martingale transport
@@ Property / cites work: Multiperiod martingale transport / rank @@
+Normal rank
@@ Property / cites work @@
+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
+Normal rank
@@ Property / cites work @@
+Characterization of the subdifferentials of convex functions
+Normal rank
@@ Property / cites work @@
+The Existence of Certain Stopping Times on Brownian Motion
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@@ Property / cites work @@
+The stopping distributions of a Markov process
@@ Property / cites work: The stopping distributions of a Markov process / rank @@
+Normal rank
@@ Property / cites work @@
+The Existence of Probability Measures with Given Marginals
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@@ Property / cites work @@
+Optimal Transport
@@ Property / cites work: Optimal Transport / rank @@
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