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20162026
most citedSuper-replication with proportional transaction cost under model uncertainty

12 citations · 17 across the 11 of their papers we have counts for

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2 papers · 1 filter

math.PR2022

Supermartingale Brenier's Theorem with full-marginals constraint

Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas

We explicitly construct the supermartingale version of the Fr{é}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-…

math.PR2022★ 1 cited

Supermartingale shadow couplings: the decreasing case

Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas

For two measures and that are in convex-decreasing order, Nutz and Stebegg (Canonical supermartingale couplings, Ann. Probab., 46(6):3351--3398, 2018) studied the optimal t…