Shadow couplings

DOI10.1090/tran/8380zbMath1484.60051arXiv1609.03340OpenAlexW4205569711MaRDI QIDQ4992380

Nicolas Juillet, Mathias Beiglböck

Publication date: 8 June 2021

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.03340

zbMATH Keywords

Skorokhod embeddingStrassen's theorempeacocksKellerer's theoremgeneral transport costs(martingale) optimal transport

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Related Items (11)

Shadows and barriers ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ On intermediate marginals in martingale optimal transportation ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ Multiperiod martingale transport ⋮ The Markov-quantile process attached to a family of marginals ⋮ From Bachelier to Dupire via optimal transport ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ Stability of martingale optimal transport and weak optimal transport

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