An optimal transport problem with backward martingale constraints motivated by insider trading (Q2117442)
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scientific article
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| English | An optimal transport problem with backward martingale constraints motivated by insider trading |
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An optimal transport problem with backward martingale constraints motivated by insider trading (English)
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21 March 2022
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martingale optimal transport
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Kyle equilibrium
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maximal monotone set
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Fitzpatrick function
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0.89504737
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0.8690307
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0.8540265
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0.8508898
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0.84995204
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0.8498881
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0.8489874
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