On a problem of optimal transport under marginal martingale constraints

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Publication:272939

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DOI10.1214/14-AOP966zbMath1348.49045arXiv1208.1509OpenAlexW3103030658MaRDI QIDQ272939

Mathias Beiglböck, Nicolas Juillet

Publication date: 21 April 2016

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

Full work available at URL: https://arxiv.org/abs/1208.1509

zbMATH Keywords

martingales optimal transport convex order model-independence

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Variational problems in a geometric measure-theoretic setting (49Q20) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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