Supermartingale Brenier's theorem with full-marginals constraint

DOI10.3934/fmf.2023010zbMath1520.91438arXiv2212.14174OpenAlexW4361861781MaRDI QIDQ6134136

Dominykas Norgilas, Erhan Bayraktar, Shuoqing Deng

Publication date: 25 July 2023

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2212.14174

zbMATH Keywords

Brenier's theoremPCOCDsupermartingale optimal transport

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Related Items (1)

Supermartingale shadow couplings: the decreasing case

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