An optimal transport problem with backward martingale constraints motivated by insider trading (Q2117442)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal transport problem with backward martingale constraints motivated by insider trading |
scientific article |
Statements
An optimal transport problem with backward martingale constraints motivated by insider trading (English)
0 references
21 March 2022
0 references
martingale optimal transport
0 references
Kyle equilibrium
0 references
maximal monotone set
0 references
Fitzpatrick function
0 references
0 references
