Martingale Benamou-Brenier: a probabilistic perspective
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Publication:2212593
DOI10.1214/20-AOP1422zbMath1473.60071arXiv1708.04869OpenAlexW3125464057MaRDI QIDQ2212593
Publication date: 24 November 2020
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.04869
martingalesoptimal transportcyclical monotonicitySchrödinger problemBrenier's theoremcausal transportBenamou-BrenierKnothe Rosenblatt couplingweak transport problems
Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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