Optimal transport and Skorokhod embedding

DOI10.1007/s00222-016-0692-2zbMath1371.60072arXiv1307.3656OpenAlexW2962853853WikidataQ59529091 ScholiaQ59529091MaRDI QIDQ2356918

Martin Huesmann, Mathias Beiglböck, Alexander Matthew Gordon Cox

Publication date: 7 June 2017

Published in: Inventiones Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.3656

zbMATH Keywords

Brownian motionstopping timeFeller processSkorokhod embedding problemoptimal mass transportoptimal embeddingmonotonicity principle

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Variational problems in a geometric measure-theoretic setting (49Q20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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