Finitely additive mass transportation

DOI10.3150/23-BEJ1654MaRDI QIDQ6565303zbMATH OpenFDO

Authors Pietro Rigo

Publication date 2 July 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/23-BEJ1654

zbMATH Keywords

couplingduality theoremfinitely additive probabilitymartingalemass transportation

Mathematics Subject Classification ID

Measures and integrals in product spaces (28A35) Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05) Optimal transportation (49Q22) Probabilistic measure theory (60A10) Martingales with discrete parameter (60G42)

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Cites work

• A general duality theorem for marginal problems
• A note on duality theorems in mass transportation
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• Constrained optimal transport
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• Equivalent martingale measures and no-arbitrage in stochastic securities market models
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• Extreme points in the Hahn-Banach-Kantorovic setting
• Finitely additive equivalent martingale measures
• Finitely additive mixtures of probability measures
• scientific article; zbMATH DE number 3816010 (Why is no real title available?)
• scientific article; zbMATH DE number 3828923 (Why is no real title available?)
• scientific article; zbMATH DE number 16826 (Why is no real title available?)
• Model-independent bounds for option prices -- a mass transport approach
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• Optimal Transport
• Optimal transportation with capacity constraints
• Stability of martingale optimal transport and weak optimal transport
• The Existence of Probability Measures with Given Marginals
• Two versions of the fundamental theorem of asset pricing

Cited in

(1)

• Some duality results for equivalence couplings and total variation

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