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5. Martingale Optimal Transport Dualities in Skorokhod Space

Martingale Optimal Transport Dualities in Skorokhod Space

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：XHR

【摘 要】

：

　　The problem consists in maximizing the expectation of some reward function among all martingale measures under some marginal constraints.We establish the du

【作 者】

：

Gaoyue GUO 

【机 构】

：

CMAP,Ecole Polytechnique

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　The problem consists in maximizing the expectation of some reward function among all martingale measures under some marginal constraints.We establish the dualities and give a geometric characterization of its optimizers.

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