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Martingale Optimal Transport with Stopping - MaRDI portal

Martingale Optimal Transport with Stopping (Q4605433)

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scientific article; zbMATH DE number 6842266
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English
Martingale Optimal Transport with Stopping
scientific article; zbMATH DE number 6842266

    Statements

    title
    Martingale Optimal Transport with Stopping (English)
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    author
    Erhan Bayraktar
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    Yavor I. Stoev
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    publication date
    22 February 2018
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    zbMATH Keywords
    martingale optimal transport
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    dynamic programming
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    optimal stopping
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    stochastic Perron's method
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    viscosity solutions
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    concave envelope
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    distribution constraints
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    Identifiers

    DOI
    10.1137/17M1114065
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    zbMATH DE Number
    6842266
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    arXiv ID
    1701.06231
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