Supermartingale shadow couplings: the decreasing case

DOI10.3150/23-bej1592arXiv2207.11732OpenAlexW4388514237MaRDI QIDQ6178554

Dominykas Norgilas, Shuoqing Deng, Erhan Bayraktar

Publication date: 16 January 2024

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.11732

zbMATH Keywords

stabilitysupermartingalesoptimal transportBrenier's theorempeacocksconvex-decreasing order

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Variational problems in a geometric measure-theoretic setting (49Q20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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