Multiperiod martingale transport
نویسندگان
چکیده
منابع مشابه
Martingale Optimal Transport
The original transport problem is to optimally move a pile of soil to an excavation. Mathematically, given two measures of equal mass, we look for an optimal map that takes one measure to the other one and also minimizes a given cost functional. Kantorovich relaxed this problem by considering a measure whose marginals agree with given two measures instead of a bijection. This generalization lin...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2020
ISSN: 0304-4149
DOI: 10.1016/j.spa.2019.05.010