The structure of martingale Benamou-Brenier in \mathbb{R}^{d}

MaRDI QIDQ6440769zbMATH OpenFDO

Authors Julio D. Backhoff Veraguas, Mathias Beiglböck, Walter Schachermayer, Bertram Tschiderer

Publication date 19 June 2023

Mathematics Subject Classification ID

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

Abstract: In classical optimal transport, the contributions of Benamou$-$Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas. Stretched Brownian motion provides an analogue for the martingale version of this problem. In this article we provide a characterization in terms of gradients of convex functions, similar to the characterization of optimizers in the classical transport problem for quadratic distance cost.

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