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...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2024
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