Martingale Optimal Transport with Stopping (Q4605433)
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scientific article; zbMATH DE number 6842266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale Optimal Transport with Stopping |
scientific article; zbMATH DE number 6842266 |
Statements
Martingale Optimal Transport with Stopping (English)
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22 February 2018
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martingale optimal transport
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dynamic programming
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optimal stopping
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stochastic Perron's method
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viscosity solutions
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concave envelope
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distribution constraints
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