An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint

Pierre Henry-Labordère, Xiaolu Tan and Nizar Touzi

Stochastic Processes and their Applications, 2016, vol. 126, issue 9, 2800-2834

Abstract: We provide an extension of the martingale version of the Fréchet–Hoeffding coupling to the infinitely-many marginals constraints setting. In the two-marginal context, this extension was obtained by Beiglböck and Juillet (2016), and further developed by Henry-Labordère and Touzi (in press), see also Beiglböck and Henry-Labordère (Preprint).

Keywords: Martingale optimal transport, Brenier’s Theorem; PCOC; Fake Brownian motion (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (12)

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DOI: 10.1016/j.spa.2016.03.003

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