Constrained optimal transport
From MaRDI portal
Publication:1702545
DOI10.1007/s00205-017-1178-0zbMath1408.49030arXiv1610.02940OpenAlexW3100976236MaRDI QIDQ1702545
Ibrahim Ekren, Halil Mete Soner
Publication date: 28 February 2018
Published in: Archive for Rational Mechanics and Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.02940
Variational problems in a geometric measure-theoretic setting (49Q20) Duality theory (optimization) (49N15)
Related Items
The directional optimal transport ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Martingale optimal transport duality ⋮ Irreducible convex paving for decomposition of multidimensional martingale transport plans ⋮ On intermediate marginals in martingale optimal transportation ⋮ Monge-Kantorovich optimal transport through constrictions and flow-rate constraints ⋮ Computation of optimal transport and related hedging problems via penalization and neural networks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Universal arbitrage aggregator in discrete-time markets under uncertainty
- On the Monge-Kantorovich problem with additional linear constraints
- Model-independent bounds for option prices -- a mass transport approach
- Wellposedness of second order backward SDEs
- Martingale optimal transport and robust hedging in continuous time
- Robust hedging with proportional transaction costs
- Martingale optimal transport in the Skorokhod space
- Tightness and duality of martingale transport on the Skorokhod space
- Duality for increasing convex functionals with countably many marginal constraints
- Robust hedging of the lookback option
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Canonical supermartingale couplings
- Complete duality for martingale optimal transport on the line
- Dual formulation of second order target problems
- Arbitrage and duality in nondominated discrete-time models
- Model-free superhedging duality
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- The unbounded bidual of C(X)
- On regularly convex sets in the space conjugate to a Banach space
- A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
- On the Monotonicity Principle of Optimal Skorokhod Embedding Problem
- Duality theorems for marginal problems
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- ROBUST BOUNDS FOR FORWARD START OPTIONS
- A generalized dual maximizer for the Monge–Kantorovich transport problem
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
- The Existence of Probability Measures with Given Marginals
- Optimal Transport
