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...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2022
|