A construction of the left-curtain coupling

DOI10.1214/22-EJP868MaRDI QIDQ2105148

David G. Hobson, Dominykas Norgilas

Publication date: 8 December 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.10549

zbMATH Keywords

martingalesoptimal transportconvex orderBrenier's theorem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Related Items (4)

Shadows and barriers ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling

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