Martingale optimal transport with stopping
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Publication:4605433
Abstract: We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in ArXiv: 1507.02651 allows us to obtain an equivalent infinite-dimensional controller-stopper problem. We use the stochastic Perron's method and characterize the finite dimensional approximation as a viscosity solution to the corresponding HJB equation. It turns out that this solution is the concave envelope of the cost function with respect to the atoms of the terminal law. We demonstrate the results by finding explicit solutions for a class of cost functions.
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- Multimarginal Optimal Transport with a Tree-Structured Cost and the Schrödinger Bridge Problem
- Optimal transport with controlled dynamics and free end times
- Controlled measure-valued martingales: a viscosity solution approach
- Fitted value iteration methods for bicausal optimal transport
- A measure-valued HJB perspective on Bayesian optimal adaptive control
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