Canonical supermartingale couplings
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Publication:1621445
DOI10.1214/17-AOP1249zbMath1435.60030arXiv1609.02867WikidataQ129182961 ScholiaQ129182961MaRDI QIDQ1621445
Publication date: 8 November 2018
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.02867
Related Items (17)
Fine properties of the optimal Skorokhod embedding problem ⋮ Geometry of distribution-constrained optimal stopping problems ⋮ The directional optimal transport ⋮ A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Fundamental properties of process distances ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ Constrained optimal transport ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Multiperiod martingale transport ⋮ Applications of weak transport theory ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ A construction of the left-curtain coupling ⋮ The potential of the shadow measure
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