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...

সম্পূর্ণ বিবরণ

গ্রন্থ-পঞ্জীর বিবরন
প্রধান লেখক: Kramkov, D, Xu, Y
বিন্যাস: Journal article
ভাষা:English
প্রকাশিত: Institute of Mathematical Statistics 2022