Monotone martingale transport plans and Skorokhod embedding
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Publication:2402432
DOI10.1016/j.spa.2017.01.004zbMath1372.60059arXiv1701.06779OpenAlexW2580913477MaRDI QIDQ2402432
Nizar Touzi, Mathias Beiglböck, Pierre Henry-Labordère
Publication date: 7 September 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.06779
Martingales with discrete parameter (60G42) Variational problems in a geometric measure-theoretic setting (49Q20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Linear optimal control problems (49N05)
Related Items (26)
Fine properties of the optimal Skorokhod embedding problem ⋮ Optimal transportation, modelling and numerical simulation ⋮ Canonical supermartingale couplings ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ PDE methods for optimal Skorokhod embeddings ⋮ 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 ⋮ Nesting Monte Carlo for high-dimensional non-linear PDEs ⋮ Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions ⋮ Structure of optimal martingale transport plans in general dimensions ⋮ Approximation of optimal transport problems with marginal moments constraints ⋮ Robust bounds for the American put ⋮ Optimal martingale transport between radially symmetric marginals in general dimensions ⋮ On the stability of the martingale optimal transport problem: a set-valued map approach ⋮ Martingale optimal transport in the discrete case via simple linear programming techniques ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ Multiperiod martingale transport ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ Shadow couplings ⋮ A Benamou-Brenier formulation of martingale optimal transport ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ A construction of the left-curtain coupling ⋮ The potential of the shadow measure
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