An optimal transport problem with backward martingale constraints motivated by insider trading

DOI10.1214/21-AAP1678zbMath1492.60109arXiv1906.03309OpenAlexW2948075003MaRDI QIDQ2117442

Yanyan Li

Publication date: 21 March 2022

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

Full work available at URL: https://arxiv.org/abs/1906.03309

zbMATH Keywords

martingale optimal transportFitzpatrick functionKyle equilibriummaximal monotone set

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Special types of economic equilibria (91B52) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces

Cites Work

• Unnamed Item
• On a problem of optimal transport under marginal martingale constraints
• An explicit martingale version of the one-dimensional Brenier theorem
• On the equality between Monge's infimum and Kantorovich's minimum in optimal mass transportation
• Complete duality for martingale optimal transport on the line
• Structure of optimal martingale transport plans in general dimensions
• From Hahn--Banach to monotonicity
• Continuous Auctions and Insider Trading
• Insider Trading without Normality
• Convex Analysis

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