Maximization of functionals depending on the terminal value and the running maximum of a martingale: a mass transport approach (Q4565498)
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scientific article; zbMATH DE number 6887027
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| English | Maximization of functionals depending on the terminal value and the running maximum of a martingale: a mass transport approach |
scientific article; zbMATH DE number 6887027 |
Statements
12 June 2018
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Skorokhod problem
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Azéma-Yor embedding
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Monge-Kantorovich problem
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optimal transport
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supermodular functions
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running maximum
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martingale
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0.8091520667076111
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0.7975663542747498
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0.7900833487510681
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0.7895708084106445
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0.780166745185852
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