Optimal martingale transport between radially symmetric marginals in general dimensions

Tongseok Lim

Stochastic Processes and their Applications, 2020, vol. 130, issue 4, 1897-1912

Abstract: We determine the optimal structure of couplings for the Martingale transport problem between radially symmetric initial and terminal laws μ,ν on Rd and show the uniqueness of optimizer. Here optimality means that such solutions will minimize the functional Ef(||X−Y||) where f is concave and strictly increasing, and the dimension d is arbitrary.

Keywords: Optimal transport; Martingale; Monotonicity; Radial symmetry (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414919303783
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:4:p:1897-1912

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2019.06.005

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().