Maximization of Functionals Depending on the Terminal Value and the Running Maximum of a Martingale: A Mass Transport Approach

zbMath1399.60073arXiv1410.5334MaRDI QIDQ4565498

Nikolay Lysenko

Publication date: 12 June 2018

Full work available at URL: https://arxiv.org/abs/1410.5334

zbMATH Keywords

Skorokhod problemmartingalesupermodular functionsoptimal transportMonge-Kantorovich problemrunning maximumAzéma-Yor embedding

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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