1 citations · 2 across the 9 of their papers we have counts for
13 papers
Stability of supermartingale optimal transport problems
Shuoqing Deng, Gaoyue Guo, Dominykas Norgilas
We investigate stability properties of weak supermartingale optimal transport (WSOT) problems on . For probability measures satisfying $μ\leq_{cd}…
Model-independent upper bounds for the prices of Bermudan options with convex payoffs
David Hobson, Dominykas Norgilas
Suppose and are probability measures on satisfying . Let and be convex functions on with . We are intereste…
Generalizing Super/Sub MOT using weak transport
Erhan Bayraktar, Dominykas Norgilas
In this article we revisit the weak optimal transport (WOT) problem, introduced by Gozlan, Roberto, Samson and Tetali (2017). We work on the real line, with barycentric cost functi…
The McCormick martingale optimal transport
Erhan Bayraktar, Bingyan Han, Dominykas Norgilas
Martingale optimal transport (MOT) often yields broad price bounds for options, constraining their practical applicability. In this study, we extend MOT by incorporating causality…
An injective martingale coupling
David Hobson, Dominykas Norgilas
We give an injective martingale coupling; in particular, given measures and in convex order on such that is continuous, we construct a martingale transport…
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-…
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…
A potential-based construction of the increasing supermartingale coupling
Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) is an extreme point of…
A construction of the left-curtain coupling
David Hobson, Dominykas Norgilas
In a martingale optimal transport (MOT) problem mass distributed according to the law is transported to the law in such a way that the martingale property is respected. Bei…
The potential of the shadow measure
Mathias Beiglböck, David Hobson, Dominykas Norgilas
It is well known that given two probability measures and on in convex order there exists a discrete-time martingale with these marginals. Several solutions are…
The left-curtain martingale coupling in the presence of atoms
David G. Hobson, Dominykas Norgilas
Beiglböck and Juillet ("On a problem of optimal transport under marginal martingale constraints") introduced the left-curtain martingale coupling of probability measures and $ν…
Robust bounds for the American Put
David Hobson, Dominykas Norgilas
We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically…
On the compensator in the Doob-Meyer decomposition of the Snell envelope
Saul D. Jacka, Dominykas Norgilas
Let be a semimartingale, and its Snell envelope. Under the assumption that , we show that the finite-variation part of is absolutely continuous with…