- Abstract:
-
Given two probability measures μ and ν in “convex order” on Rd, we study the profile of one-step martingale plans π on Rd×Rd that optimize the expected value of the modulus of their increment among all martingales having μ and ν as marginals. While there is a great deal of results for the real line (i.e., when d=1), much less is known in the richer and more delicate higher-dimensional case that we tackle in this paper. We show that many structural results can be obtained, provided the initial...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Publisher copy:
- 10.1214/18-AOP1258
-
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- Publisher:
- Institute of Mathematical Statistics Publisher's website
- Journal:
- Annals of Probability Journal website
- Volume:
- 47
- Issue:
- 1
- Pages:
- 109-164
- Publication date:
- 2018-12-13
- Acceptance date:
- 2018-02-11
- DOI:
- EISSN:
-
2168-894X
- ISSN:
-
0091-1798
- Pubs id:
-
pubs:686290
- URN:
-
uri:86813f0d-2899-451f-96a7-c66786033820
- UUID:
-
uuid:86813f0d-2899-451f-96a7-c66786033820
- Local pid:
- pubs:686290
- Copyright holder:
- Institute of Mathematical Statistics
- Copyright date:
- 2018
- Notes:
- Copyright © 2018 Institute of Mathematical Statistics.
Journal article
Structure of optimal martingale transport plans in general dimensions
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