Optimal martingale transport between radially symmetric marginals in general dimensions
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Publication:1986007
DOI10.1016/j.spa.2019.06.005zbMath1440.60036arXiv1412.3530OpenAlexW2395942424WikidataQ127683282 ScholiaQ127683282MaRDI QIDQ1986007
Publication date: 7 April 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.3530
Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30)
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Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\) ⋮ Geometry of vectorial martingale optimal transportations and duality ⋮ Optimal control of martingales in a radially symmetric environment ⋮ Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions
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