An optimal transport problem with backward martingale constraints motivated by insider trading

We study a single-period optimal transport problem on R2 with a covariance-type cost function c(x, y) = (x1 - y1)(x2 - y2) and a backward martingale constraint. We show that a transport plan γ is optimal if and only if there is a maximal monotone set G that supports the x-marginal of γ and such that...

Полное описание

Библиографические подробности
Главные авторы: Kramkov, D, Xu, Y
Формат: Journal article
Язык:English
Опубликовано: Institute of Mathematical Statistics 2022