Shadows and barriers

DOI10.1214/23-aap1981arXiv2103.03620OpenAlexW4391483154MaRDI QIDQ6126791

Martin Brückerhoff, Martin Huesmann

Publication date: 10 April 2024

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

Full work available at URL: https://arxiv.org/abs/2103.03620

zbMATH Keywords

interpolationpotential theoryshadowsSkorokhod embeddingmartingale optimal transport

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45)

Cites Work

• On a problem of optimal transport under marginal martingale constraints
• Model-independent bounds for option prices -- a mass transport approach
• Stability of the shadow projection and the left-curtain coupling
• A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
• A counterexample to the Cantelli conjecture through the Skorokhod embedding problem
• The Skorokhod embedding problem and its offspring
• Robust hedging of the lookback option
• Robust bounds for the American put
• Root's barrier: construction, optimality and applications to variance options
• A free boundary characterisation of the root barrier for Markov processes
• A solution to the Monge transport problem for Brownian martingales
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• A construction of the left-curtain coupling
• The potential of the shadow measure
• Stability of martingale optimal transport and weak optimal transport
• The geometry of multi-marginal Skorokhod embedding
• Multiperiod martingale transport
• Optimal transport and Skorokhod embedding
• Monotone martingale transport plans and Skorokhod embedding
• The stopping distributions of a Markov process
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• A new proof of Kellerer’s theorem
• Shadow couplings
• The Existence of Certain Stopping Times on Brownian Motion
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