Multiperiod martingale transport
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Publication:2301489
DOI10.1016/j.spa.2019.05.010zbMath1444.60033arXiv1703.10588OpenAlexW2604253913WikidataQ127759380 ScholiaQ127759380MaRDI QIDQ2301489
Florian Stebegg, Marcel Nutz, Xiaowei Tan
Publication date: 24 February 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.10588
Related Items (12)
Fine properties of the optimal Skorokhod embedding problem ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ 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 ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Martingale optimal transport in the discrete case via simple linear programming techniques ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ The potential of the shadow measure
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