An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
type: Item
instance of: scholarly article
title: An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
zbMATH Open document ID: 1346.60058
author: Pierre Henry-Labordère
author: Xiaolu Tan
author: Nizar Touzi
published in: Stochastic Processes and their Applications
publication date: 2016-08-08T00:00:00Z
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 49Q20
zbMATH DE Number: 6610064
zbMATH Keywords: martingale
zbMATH Keywords: optimal transport
zbMATH Keywords: Brenier's theorem
zbMATH Keywords: fake Brownian motion
MaRDI profile type: Publication
full work available at URL: j.spa.2016.03.003
OpenAlex ID: W3124757165
cites work: A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
cites work: A continuous non-Brownian motion martingale with Brownian motion marginal distributions
cites work: Model-independent bounds for option prices -- a mass transport approach
cites work: On a problem of optimal transport under marginal martingale constraints
cites work: Martingale inequalities and deterministic counterparts
cites work: A model-free no-arbitrage price bound for variance options
cites work: Arbitrage and duality in nondominated discrete-time models
cites work: Robust hedging of barrier options.
cites work: Change of numeraire in the two-marginals martingale transport problem
cites work: Q4463112
cites work: From local volatility to local Lévy models
cites work: Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
cites work: Robust pricing and hedging of double no-touch options
cites work: On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
cites work: Root's barrier: construction, optimality and applications to variance options
cites work: Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
cites work: Martingale optimal transport and robust hedging in continuous time
cites work: Robust hedging with proportional transaction costs
cites work: Convex Duality with Transaction Costs
cites work: Model-independent superhedging under portfolio constraints
cites work: Mimicking self-similar processes
cites work: Q3911166
cites work: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
cites work: Optimal maps for the multidimensional Monge-Kantorovich problem
cites work: Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
cites work: Optimal Skorokhod embedding under finitely many marginal constraints
cites work: On the monotonicity principle of optimal Skorokhod embedding problem
cites work: A family of non-Gaussian martingales with Gaussian marginals
cites work: Monge problem for \(n\) probabilities
cites work: The maximum maximum of a martingale with given \(n\) marginals
cites work: Constructing Self-Similar Martingales via Two Skorokhod Embeddings
cites work: Peacocks and associated martingales, with explicit constructions
cites work: A new proof of Kellerer’s theorem
cites work: Robust hedging of the lookback option
cites work: The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
cites work: Fake exponential Brownian motion
cites work: Constructing time-homogeneous generalized diffusions consistent with optimal stopping values
cites work: Model-independent hedging strategies for variance swaps
cites work: Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
cites work: Robust price bounds for the forward starting straddle
cites work: ROBUST BOUNDS FOR FORWARD START OPTIONS
cites work: Calcul stochastique et problèmes de martingales
cites work: Q4778955
cites work: Martingales associated to peacocks using the curtain coupling
cites work: Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks
cites work: On pathwise stochastic integration
cites work: Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
cites work: On a generalization of cyclic monotonicity and distances among random vectors
cites work: Q4114577
cites work: Making Markov martingales meet marginals: With explicit constructions
cites work: The Skorokhod embedding problem and its offspring
cites work: On fake Brownian motions
cites work: Maximum Submatrix Traces for Positive Definite Matrices
cites work: Uniqueness and Monge Solutions in the Multimarginal Optimal Transportation Problem
cites work: On the local structure of optimal measures in the multi-marginal optimal transportation problem
cites work: On a class of optimal transportation problems with infinitely many marginals
cites work: Multi-marginal optimal transport and multi-agent matching problems: uniqueness and structure of solutions
cites work: Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
cites work: On the \(n\)-coupling problem
cites work: Optimal transportation under controlled stochastic dynamics
cites work: Stability of a 4th-order curvature condition arising in optimal transport theory

An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (cites work)
cites work: An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint

An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (DOI)
DOI: 10.1016/J.SPA.2016.03.003