Transport plans with domain constraints
DOI10.1007/s00245-020-09672-5zbMath1470.60117arXiv1804.04283OpenAlexW3014249902MaRDI QIDQ2045149
Xin Zhang, Zhou Zhou, Erhan Bayraktar
Publication date: 11 August 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.04283
Kantorovich dualitymartingale optimal transport\(G\)-expectationsmonotonicity principledomain constraintsbounded volatility/quadratic variation
Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Linear optimal control problems (49N05) Optimal transportation (49Q22) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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