Martingale Benamou-Brenier: a probabilistic perspective

DOI10.1214/20-AOP1422zbMath1473.60071arXiv1708.04869OpenAlexW3125464057MaRDI QIDQ2212593

Yanyan Li

Publication date: 24 November 2020

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

Full work available at URL: https://arxiv.org/abs/1708.04869

zbMATH Keywords

martingalesoptimal transportcyclical monotonicitySchrödinger problemBrenier's theoremcausal transportBenamou-BrenierKnothe Rosenblatt couplingweak transport problems

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

Weak monotone rearrangement on the line ⋮ A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ Entropic Optimal Planning for Path-Dependent Mean Field Games ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Stability of the weak martingale optimal transport problem ⋮ Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations ⋮ Path dependent optimal transport and model calibration on exotic derivatives ⋮ Kantorovich problems with a parameter and density constraints ⋮ From Bachelier to Dupire via optimal transport ⋮ Applications of weak transport theory ⋮ A Benamou-Brenier formulation of martingale optimal transport ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ Estimating processes in adapted Wasserstein distance ⋮ Stability of martingale optimal transport and weak optimal transport

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