Monotonicity preserving transformations of MOT and SEP
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Publication:1743337
DOI10.1016/j.spa.2017.07.005zbMath1391.60095arXiv1609.04084OpenAlexW2519365042MaRDI QIDQ1743337
Martin Huesmann, Florian Stebegg
Publication date: 13 April 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.04084
Variational problems in a geometric measure-theoretic setting (49Q20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Probabilistic measure theory (60A10)
Related Items (5)
Fine properties of the optimal Skorokhod embedding problem ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ PDE methods for optimal Skorokhod embeddings ⋮ Martingale optimal transport in the discrete case via simple linear programming techniques ⋮ A Benamou-Brenier formulation of martingale optimal transport
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