相关论文: Martingale optimal transport duality

Our goal in this paper is twofold. First, we characterize the class of pairwise interactions for which the Seidl conjecture on the structure of optimal plans for the symmetric multimarginal optimal transport problem with one-dimensional…

We explore the structure of solutions to a family of non-linear martingale optimal transport (MOT) problems that involve conditional expectations in the objective functional. En route general results concerning optimization over…

In this paper we present a variant of the well known Skorokhod Representation Theorem. In our main result, given $S$ a Polish space, to a given continous path $\alpha$ in the space of probability measures on $S$, we associate a continuous…

The Kantorovich distance is a widely used metric between probability distributions. The Kantorovich-Rubinstein duality states that it can be defined in two equivalent ways: as a supremum, based on non-expansive functions into [0, 1], and as…

In this paper, we consider certain topological properties along with certain types of mappings on these spaces defined by the notion of ideal convergence. In order to do that, we primarily follow in the footsteps of the earlier studies of…

In this paper a quantum stochastic integral representation theorem is obtained for unbounded regular martingales with respect to multidimensional quantum noise. This simultaneously extends results of Parthasarathy and Sinha to unbounded…

In this article we revisit the weak optimal transport (WOT) problem, introduced by Gozlan, Roberto, Samson and Tetali (2017). We work on the real line, with barycentric cost functions, and as our first result give the following…

We study the convergence of an $N$-particle Markovian controlled system to the solution of a family of stochastic McKean-Vlasov control problems, either with a finite horizon or Schr\"odinger type cost functional. Specifically, under…

In this paper, we study the optimal transport problem induced by separable cost functions. In this framework, transportation can be expressed as the composition of two lower-dimensional movements. Through this reformulation, we prove that…

We investigate the properties of stochastic rotation dynamics (Malevanets-Kapral method), a mesoscopic model used for simulating fluctuating hydrodynamics. Analytical results are given for the transport coefficients. We discuss the most…

Let $X,Y$ be two finite sets of points having $\#X = m$ and $\#Y = n$ points with $\mu = (1/m) \sum_{i=1}^{m} \delta_{x_i}$ and $\nu = (1/n) \sum_{j=1}^{n} \delta_{y_j}$ being the associated uniform probability measures. A result of…

This paper examines the applicability of the Skorokhod representation theorem in filtrated probability spaces for the utility maximization problem in the Kabanov conic model of multi-asset markets with proportional transaction costs. A key…

Capacity constrained optimal transport is a variant of optimal transport, which adds extra constraints on the set of feasible couplings in the original optimal transport problem to limit the mass transported between each pair of source and…

We consider an optimal transport problem with backward martingale constraint. The objective function is given by the scalar product of a pseudo-Euclidean space $S$. We show that the supremums over maps and plans coincide, provided that the…

A new representation is proposed for functions in a Sobolev space with dominating mixed smoothness on an $N$-dimensional hyperrectangle. In particular, it is shown that these functions can be expressed in terms of their highest-order mixed…

We present generalized versions of Monge's and Kantorovich's optimal transport problems with the probabilities being transported replaced by lower probabilities. We show that, when the lower probabilities are the lower envelopes of…

We solve a generalized Kyle model type problem using Monge-Kantorovich duality and backward stochastic partial differential equations. First, we show that the the generalized Kyle model with dynamic information can be recast into a terminal…

This note establishes that a generalization of $c$-cyclical monotonicity from the Monge-Kantorovich problem with two marginals gives rise to a sufficient condition for optimality also in the multi-marginal version of that problem. To obtain…

We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large financial interest. Such problems are typically…

The Skorokhod Embedding Problem (SEP) is one of the classical problems in the study of stochastic processes, with applications in many different fields (cf.~ the surveys \cite{Ob04,Ho11}). Many of these applications have natural…