Geometry of distribution-constrained optimal stopping problems

DOI10.1007/s00440-017-0805-xzbMath1434.60123arXiv1612.01488OpenAlexW2560148363WikidataQ58583097 ScholiaQ58583097MaRDI QIDQ1626603

Uwe Schmock, Manu Eder, Christiane Elgert, Mathias Beiglböck

Publication date: 21 November 2018

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.01488

zbMATH Keywords

optimal transportdistribution-constrained optimal stoppinginverse first passage problemShiryaev's problem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (12)

Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ Optimal stopping with expectation constraints ⋮ Martingale Optimal Transport with Stopping ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Distribution‐constrained optimal stopping ⋮ Stochastic optimal transport with free end time ⋮ Stopping with expectation constraints: 3 points suffice ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ Existence, duality, and cyclical monotonicity for weak transport costs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the Monge-Kantorovich problem with additional linear constraints
• On a problem of optimal transport under marginal martingale constraints
• Model-independent bounds for option prices -- a mass transport approach
• Martingale optimal transport and robust hedging in continuous time
• Change of numeraire in the two-marginals martingale transport problem
• Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions
• Boundary-crossing identities for diffusions having the time-inversion property
• The Skorokhod embedding problem and its offspring
• On the optimal mapping of distributions
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• The geometry of optimal transportation
• On integral equations arising in the first-passage problem for Brownian motion
• Canonical supermartingale couplings
• Complete duality for martingale optimal transport on the line
• Optimal transport and Skorokhod embedding
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• On the Monotonicity Principle of Optimal Skorokhod Embedding Problem
• The Generalized Shiryaev Problem and Skorokhod Embedding
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Boundary crossing identities for Brownian motion and some nonlinear ode’s
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• On Markov Stopping Times with a Given Distribution for a Wiener Process
• Optimal solutions of multivariate coupling problems
• ROBUST BOUNDS FOR FORWARD START OPTIONS
• The Existence of Certain Stopping Times on Brownian Motion
• Stopping times on Brownian motion: Some properties of root's construction

This page was built for publication: Geometry of distribution-constrained optimal stopping problems