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

DOI10.1016/j.spa.2016.03.003zbMath1346.60058OpenAlexW3124757165MaRDI QIDQ737181

Nizar Touzi, Pierre Henry-Labordère, Xiaolu Tan

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

martingaleoptimal transportfake Brownian motionBrenier's theorem

Mathematics Subject Classification ID

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

Related Items (32)

Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Martingale Wasserstein inequality for probability measures in the convex order ⋮ Approximation of martingale couplings on the line in the adapted weak topology ⋮ Portfolio optimization with a prescribed terminal wealth distribution ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Perturbation analysis of sub/super hedging problems ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ On intermediate marginals in martingale optimal transportation ⋮ Quantization and martingale couplings ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ Robust price bounds for the forward starting straddle ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Martingales associated to peacocks using the curtain coupling ⋮ A new family of one dimensional martingale couplings ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Tightening robust price bounds for exotic derivatives ⋮ Multiperiod martingale transport ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ The Markov-quantile process attached to a family of marginals ⋮ From Bachelier to Dupire via optimal transport ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ Arbitrage and duality in nondominated discrete-time models ⋮ Convex order, quantization and monotone approximations of ARCH models ⋮ A construction of the left-curtain coupling ⋮ The potential of the shadow measure ⋮ Peacocks Parametrised by a Partially Ordered Set

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