Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces

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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Kramkov, D, Sîrbu, M
Fformat:	Journal article
Iaith:	English
Cyhoeddwyd:	Institute of Mathematical Statistics 2024

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