English

Optimal martingale transport between radially symmetric marginals in general dimensions

Optimization and Control 2019-07-25 v3 Probability Mathematical Finance

Abstract

We determine the optimal structure of couplings for the \emph{Martingale transport problem} between radially symmetric initial and terminal laws μ,ν\mu, \nu on Rd\R^d and show the uniqueness of optimizer. Here optimality means that such solutions will minimize the functional \EXYp\E |X-Y|^p where 0<p10<p \leq 1, and the dimension dd is arbitrary.

Keywords

Cite

@article{arxiv.1412.3530,
  title  = {Optimal martingale transport between radially symmetric marginals in general dimensions},
  author = {Tongseok Lim},
  journal= {arXiv preprint arXiv:1412.3530},
  year   = {2019}
}

Comments

Some clarifications were made in the proofs