Fine properties of the optimal Skorokhod embedding problem
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Publication:2119390
DOI10.4171/JEMS/1122zbMath1504.60062arXiv1903.03887OpenAlexW3124698288MaRDI QIDQ2119390
Mathias Beiglböck, Florian Stebegg, Marcel Nutz
Publication date: 29 March 2022
Published in: Journal of the European Mathematical Society (JEMS) (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.03887
Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
Related Items (6)
Approximation of martingale couplings on the line in the adapted weak topology ⋮ Stability of entropic optimal transport and Schrödinger bridges ⋮ A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Stability of the weak martingale optimal transport problem ⋮ Entropic optimal transport: geometry and large deviations
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