Supermartingale Brenier's theorem with full-marginals constraint (Q6134136): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Weak transport for non‐convex costs and model‐independence in a fixed‐income market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale Benamou-Brenier: a probabilistic perspective / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability of martingale optimal transport and weak optimal transport / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal transport and Skorokhod embedding / rank
 
Normal rank
Property / cites work
 
Property / cites work: The geometry of multi-marginal Skorokhod embedding / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model-independent bounds for option prices -- a mass transport approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monotone martingale transport plans and Skorokhod embedding / rank
 
Normal rank
Property / cites work
 
Property / cites work: The potential of the shadow measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation of martingale couplings on the line in the adapted weak topology / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a problem of optimal transport under marginal martingale constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Shadow couplings / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale inequalities and deterministic counterparts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fine properties of the optimal Skorokhod embedding problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Complete duality for martingale optimal transport on the line / rank
 
Normal rank
Property / cites work
 
Property / cites work: Polar factorization and monotone rearrangement of vector‐valued functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Hedging of Barrier Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Shadow martingales -- a stochastic mass transport approach to the peacock problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Change of numeraire in the two-marginals martingale transport problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: From local volatility to local Lévy models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping / rank
 
Normal rank
Property / cites work
 
Property / cites work: Skorokhod embeddings, minimality and non-centred target distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust pricing and hedging of double no-touch options / rank
 
Normal rank
Property / cites work
 
Property / cites work: On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale / rank
 
Normal rank
Property / cites work
 
Property / cites work: The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Root's barrier: construction, optimality and applications to variance options / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale optimal transport and robust hedging in continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale optimal transport in the Skorokhod space / rank
 
Normal rank
Property / cites work
 
Property / cites work: On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model-independent superhedging under portfolio constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3911166 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Monotonicity Principle of Optimal Skorokhod Embedding Problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tightness and duality of martingale transport on the Skorokhod space / rank
 
Normal rank
Property / cites work
 
Property / cites work: An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint / rank
 
Normal rank
Property / cites work
 
Property / cites work: An explicit martingale version of the one-dimensional Brenier theorem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Peacocks and associated martingales, with explicit constructions / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model-independent hedging strategies for variance swaps / rank
 
Normal rank
Property / cites work
 
Property / cites work: ROBUST BOUNDS FOR FORWARD START OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust bounds for the American put / rank
 
Normal rank
Property / cites work
 
Property / cites work: A construction of the left-curtain coupling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust hedging of the lookback option / rank
 
Normal rank
Property / cites work
 
Property / cites work: The left-curtain martingale coupling in the presence of atoms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3774629 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales associated to peacocks using the curtain coupling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks / rank
 
Normal rank
Property / cites work
 
Property / cites work: On pathwise stochastic integration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Making Markov martingales meet marginals: With explicit constructions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Canonical supermartingale couplings / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiperiod martingale transport / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Skorokhod embedding problem and its offspring / rank
 
Normal rank
Property / cites work
 
Property / cites work: An iterated Azéma-Yor type embedding for finitely many marginals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Existence of Probability Measures with Given Marginals / rank
 
Normal rank

Revision as of 09:51, 2 August 2024

scientific article; zbMATH DE number 7716480
Language Label Description Also known as
English
Supermartingale Brenier's theorem with full-marginals constraint
scientific article; zbMATH DE number 7716480

    Statements

    Supermartingale Brenier's theorem with full-marginals constraint (English)
    0 references
    0 references
    0 references
    0 references
    25 July 2023
    0 references
    supermartingale optimal transport
    0 references
    Brenier's theorem
    0 references
    PCOCD
    0 references
    0 references
    0 references
    0 references

    Identifiers