An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint
Xiaolu Tan and
Stochastic Processes and their Applications, 2016, vol. 126, issue 9, 2800-2834
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)
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