Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces

We study an optimal transport problem with a backward martingale constraint in a pseudo-Euclidean space S. We show that the dual problem consists in the minimization of the expected values of the Fitzpatrick functions associated with maximal S-monotone sets. An optimal plan γ and an optimal maximal...

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Veröffentlicht in:	The Annals of applied probability 2024-02, Vol.34 (1B), p.1571
Hauptverfasser:	Kramkov, Dmitry, Sîrbu, Mihai
Format:	Artikel
Sprache:	eng
Schlagworte:	Euclidean geometry Euclidean space Independent variables Martingales Mathematical problems Normal distribution Optimization Probability Problem solving Random variables Subspaces
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