A solution to the Monge transport problem for Brownian martingales

DOI10.1214/20-AOP1462zbMath1475.49056arXiv1903.00527MaRDI QIDQ2039418

Young-Heon Kim, Aaron Zeff Palmer, Nassif Ghoussoub

Publication date: 2 July 2021

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.00527

zbMATH Keywords

variational inequalityoptimal transportSkorokhod embeddingBrownian martingale transport problem

Mathematics Subject Classification ID

Brownian motion (60J65) Duality theory (optimization) (49N15) Optimal transportation (49Q22)

Related Items (5)

PDE methods for optimal Skorokhod embeddings ⋮ Shadows and barriers ⋮ Backward and forward Wasserstein projections in stochastic order ⋮ Optimal stopping of stochastic transport minimizing submartingale costs ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem

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