Optimal martingale transport between radially symmetric marginals in general dimensions

Tongseok Lim

Papers from arXiv.org

Abstract: We determine the optimal structure of couplings for the \emph{Martingale transport problem} between radially symmetric initial and terminal laws $\mu, \nu$ on $\R^d$ and show the uniqueness of optimizer. Here optimality means that such solutions will minimize the functional $\E |X-Y|^p$ where $0

Date: 2014-12, Revised 2018-02
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Published in Stochastic Processes and their Applications, 2019

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