相关论文: An injective martingale coupling

Some classical mass transportation problems are investigated in a finitely additive setting. Let $\Omega=\prod_{i=1}^n\Omega_i$ and $\mathcal{A}=\otimes_{i=1}^n\mathcal{A}_i$, where $(\Omega_i,\mathcal{A}_i,\mu_i)$ is a ($\sigma$-additive)…

We consider the following question arising in the theory of differential inclusions: given an elliptic set $\Gamma$ and a Sobolev map $u$ whose gradient lies in the quasiconformal envelope of $\Gamma$ and touches $\Gamma$ on a set of…

Based on the multidimensional irreducible paving of De March & Touzi, we provide a multi-dimensional version of the quasi sure duality for the martingale optimal transport problem, thus extending the result of Beiglb\"ock, Nutz & Touzi.…

It was shown by the authors that two one-dimensional probability measures in the convex order admit a martingale coupling with respect to which the integral of $\vert x-y\vert$ is smaller than twice their $\mathcal W_1$-distance…

While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the robust pricing of American options or the construction of…

It is well known that given two probability measures $\mu$ and $\nu$ on $\mathbb{R}$ in convex order there exists a discrete-time martingale with these marginals. Several solutions are known (for example from the literature on the Skorokhod…

Functional lifting methods provide a tool for approximating solutions of difficult non-convex problems by embedding them into a larger space. In this work, we investigate a mathematically rigorous formulation based on embedding into the…

We consider a class of graphs subject to certain restrictions, including the finiteness of diameters. Any surjective mapping $\phi:\Gamma\to\Gamma'$ between graphs from this class is shown to be an isomorphism provided that the following…

Given positive measures $\nu,\mu$ on an arbitrary measurable space $(\Omega, \mathcal F)$, we construct a sequence of finite partitions $(\pi_n)_n$ of $(\Omega, \mathcal F)$ s.t. $$ \sum_{A\in \pi_n: \mu(A)>0} 1_{A} \frac{\nu(A)}{\mu(A)}…

Let $A \subset \mathbb{R}^d$, $d\ge 2$, be a compact convex set and let $\mu = \varrho_0 dx$ be a probability measure on $A$ equivalent to the restriction of Lebesgue measure. Let $\nu = \varrho_1 dx$ be a probability measure on $B_r :=…

In this article we define and investigate a notion of parallel transport on finite projective modules over finite matrix algebras. Given a derivation-based differential calculus on the algebra and a connection on the module, we construct…

We are interested in martingale rearrangement couplings. As introduced by Wiesel [37] in order to prove the stability of Martingale Optimal Transport problems, these are projections in adapted Wasserstein distance of couplings between two…

Given a closed orientable surface (\Sigma) of genus at least two, we establish an affine isomorphism between the convex compact set of isotopy-invariant topological measures on (\Sigma) and the convex compact set of additive functions on…

An algorithm is described for the construction of actions for scalar, spinor, and vector gauge fields that remains well-defined when the metric is degenerate and that involve no contravariant tensor fields. These actions produce the…

Strassen's classical martingale coupling theorem states that two real-valued random variables are ordered in the convex (resp.\ increasing convex) stochastic order if and only if they admit a martingale (resp.\ submartingale) coupling. By…

For a given dimension d $\ge$ 2 and a finite measure $\nu$ on (0, +$\infty$), we consider $\xi$ a Poisson point process on R d x (0, +$\infty$) with intensity measure dc $\otimes$ $\nu$ where dc denotes the Lebesgue measure on R d. We…

Let \Pi be an ergodic simple point process on R^d and let \Pi^* be its Palm version. Thorisson [Ann. Probab. 24 (1996) 2057-2064] proved that there exists a shift coupling of \Pi and \Pi^*; that is, one can select a (random) point Y of \Pi…

Establishing that a demand mapping is injective is core first step for a variety of methodologies. When a version of the law of demand holds, global injectivity can be checked by seeing whether the demand mapping is constant over any line…

Quantization provides a very natural way to preserve the convex order when approximating two ordered probability measures by two finitely supported ones. Indeed, when the convex order dominating original probability measure is compactly…

We study a single-period optimal transport problem on $\mathbb{R}^2$ with a covariance-type cost function $c(x,y) = (x_1-y_1)(x_2-y_2)$ and a backward martingale constraint. We show that a transport plan $\gamma$ is optimal if and only if…