Monotone martingale transport plans and Skorokhod embedding-Reference-Cited by-同舟云学术

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Monotone martingale transport plans and Skorokhod embedding

Published:2017-09 Issue:9 Volume:127 Page:3005-3013
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Beiglböck Mathias,Henry-Labordère Pierre,Touzi Nizar

Funder

ERC Advanced Grant

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference29 articles.

1. A user’s guide to optimal transport;Ambrosio,2013

2. Optimal transport and Skorokhod embedding;Beiglböck;Invent. Math.,2016

3. M. Beiglböck, C. Griessler, An optimality principle with applications in optimal transport. ArXiv e-prints, April 2014.

4. Model-independent bounds for option prices: A mass transport approach;Beiglböck;Finance Stoch.,2013

5. On a problem of optimal transport under marginal martingale constraints;Beiglböck;Ann. Probab.,2016

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