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...

Täydet tiedot

Bibliografiset tiedot
Päätekijät: Kramkov, D, Sîrbu, M
Aineistotyyppi: Journal article
Kieli:English
Julkaistu: Institute of Mathematical Statistics 2024