An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint

DOI10.1016/J.SPA.2016.03.003MaRDI QIDQ737181zbMATHOpenAlexFDO

Authors Pierre Henry-Labordère, Xiaolu Tan, Nizar Touzi

Publication date 8 August 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2016.03.003

zbMATH Keywords

optimal transportmartingalefake Brownian motionBrenier's theorem

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Martingales with continuous parameter (60G44)

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Cited in

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• Tightening robust price bounds for exotic derivatives
• Mimicking martingales
• Multiperiod martingale transport
• Quantization and martingale couplings
• Portfolio optimization with a prescribed terminal wealth distribution
• A new family of one dimensional martingale couplings
• A new proof of Kellerer's theorem
• Optimal Skorokhod embedding under finitely many marginal constraints
• On intermediate marginals in martingale optimal transportation
• On the monotonicity principle of optimal Skorokhod embedding problem
• Martingale Wasserstein inequality for probability measures in the convex order
• Arbitrage and duality in nondominated discrete-time models
• Canonical supermartingale couplings
• On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals
• One Dimensional Martingale Rearrangement Couplings
• Peacocks parametrised by a partially ordered set
• Supermartingale shadow couplings: the decreasing case
• Approximation of martingale couplings on the line in the adapted weak topology
• Perturbation analysis of sub/super hedging problems
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• An explicit martingale version of the one-dimensional Brenier theorem
• The potential of the shadow measure
• From Bachelier to Dupire via optimal transport
• A construction of the left-curtain coupling
• The Markov-quantile process attached to a family of marginals
• The geometry of multi-marginal Skorokhod embedding
• Convex order, quantization and monotone approximations of ARCH models
• Robust price bounds for the forward starting straddle
• Supermartingale Brenier's theorem with full-marginals constraint
• Shadow couplings
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• Martingales associated to peacocks using the curtain coupling
• A potential-based construction of the increasing supermartingale coupling

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