Irreducible convex paving for decomposition of multidimensional martingale transport plans

DOI10.1214/18-AOP1295zbMath1467.60028arXiv1702.08298WikidataQ127930847 ScholiaQ127930847MaRDI QIDQ2421828

Nizar Touzi, Hadrien De March

Publication date: 18 June 2019

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.08298

zbMATH Keywords

polar setsirreducible decompositionmartingale optimal transport

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Linear optimal control problems (49N05)

Related Items (20)

Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\) ⋮ Martingale Wasserstein inequality for probability measures in the convex order ⋮ Approximation of martingale couplings on the line in the adapted weak topology ⋮ PDE methods for optimal Skorokhod embeddings ⋮ Geometry of vectorial martingale optimal transportations and duality ⋮ Stability of the weak martingale optimal transport problem ⋮ Quantization and martingale couplings ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ An optimal transport-based characterization of convex order ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ Optimal control of martingales in a radially symmetric environment ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions ⋮ A new family of one dimensional martingale couplings ⋮ Computational methods for martingale optimal transport problems ⋮ Multiperiod martingale transport ⋮ Martingale transport with homogeneous stock movements ⋮ A Benamou-Brenier formulation of martingale optimal transport ⋮ Convex order, quantization and monotone approximations of ARCH models ⋮ Stability of martingale optimal transport and weak optimal transport

Cites Work

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