Stability of the shadow projection and the left-curtain coupling

DOI10.1214/15-AIHP700zbMath1356.60067arXiv1407.8009OpenAlexW2964100790MaRDI QIDQ503094

Nicolas Juillet

Publication date: 11 January 2017

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.8009

zbMATH Keywords

martingalescouplingsoptimal transportconvex ordershadow projection

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Variational problems in a geometric measure-theoretic setting (49Q20) Spaces of measures, convergence of measures (28A33) Convergence of probability measures (60B10)

Related Items (23)

Canonical supermartingale couplings ⋮ Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\) ⋮ Martingale Wasserstein inequality for probability measures in the convex order ⋮ Approximation of martingale couplings on the line in the adapted weak topology ⋮ Shadows and barriers ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ On intermediate marginals in martingale optimal transportation ⋮ Supermartingale shadow couplings: the decreasing case ⋮ Backward and forward Wasserstein projections in stochastic order ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ Sampling of probability measures in the convex order by Wasserstein projection ⋮ On the stability of the martingale optimal transport problem: a set-valued map approach ⋮ Martingales associated to peacocks using the curtain coupling ⋮ Martingale optimal transport in the discrete case via simple linear programming techniques ⋮ Computational methods for martingale optimal transport problems ⋮ Multiperiod martingale transport ⋮ Shadow couplings ⋮ CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS ⋮ A new class of costs for optimal transport planning ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ A construction of the left-curtain coupling ⋮ The potential of the shadow measure ⋮ Peacocks Parametrised by a Partially Ordered Set

This page was built for publication: Stability of the shadow projection and the left-curtain coupling