The geometry of multi-marginal Skorokhod embedding
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Publication:2174667
DOI10.1007/s00440-019-00935-zzbMath1469.60126arXiv1705.09505OpenAlexW2964649716WikidataQ94474638 ScholiaQ94474638MaRDI QIDQ2174667
Mathias Beiglböck, Martin Huesmann, Alexander Matthew Gordon Cox
Publication date: 21 April 2020
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.09505
Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (13)
Fine properties of the optimal Skorokhod embedding problem ⋮ On the continuity of the root barrier ⋮ Shadows and barriers ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ Martingale optimal transport in the discrete case via simple linear programming techniques ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ Adapted Wasserstein distances and stability in mathematical finance
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