STRUCTURE OF OPTIMAL MARTINGALE TRANSPORT PLANS IN GENERAL DIMENSIONS

Ghoussoub, N; Kim, YH; Lim, T

Ghoussoub, N (reprint author), Univ British Columbia, Dept Math, Vancouver, BC V6T 1Z2, Canada.

ANNALS OF PROBABILITY, 2019; 47 (1): 109

Abstract

Given two probability measures mu and nu in "convex order" on R-d, we study the profile of one-step martingale plans pi on R-d x R-d that optimize the......

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