Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces

We study an optimal transport problem with a backward martingale constraint in a pseudo-Euclidean space S. We show that the dual problem consists in the minimization of the expected values of the Fitzpatrick functions associated with maximal S-monotone sets. An optimal plan γ and an optimal maximal...

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Bibliographic Details
Main Authors: Kramkov, D, Sîrbu, M
Format: Journal article
Language:English
Published: Institute of Mathematical Statistics 2024