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math.PR2021★ 1 cited
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…
math.PR2021
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…