A land of monotone plenty

DOI10.2422/2036-2145.201610_011zbMath1425.60043arXiv1404.7054OpenAlexW2947946151MaRDI QIDQ4633454

Mathias Beiglböck, Claus Griessler

Publication date: 2 May 2019

Published in: ANNALI SCUOLA NORMALE SUPERIORE - CLASSE DI SCIENZE (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.7054

zbMATH Keywords

optimal couplingsMonge-Kantorovich problem$c$-cyclical monotonicitycost minimizing transport plan

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ Causal Transport in Discrete Time and Applications ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization ⋮ Applications of weak transport theory ⋮ Shadow couplings ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ Stability of martingale optimal transport and weak optimal transport

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