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 on and show the uniqueness of optimizer. Here optimality means that such solutions will minimize the functional where , and the dimension 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