9 citations · 20 across the 7 of their papers we have counts for
3 papers · 1 filter
The geometry of multi-marginal Skorokhod Embedding
Mathias Beiglboeck, Alexander Cox, Martin Huesmann
The Skorokhod Embedding Problem (SEP) is one of the classical problems in the study of stochastic processes, with applications in many different fields (cf.~ the surveys \cite{Ob04…
Dual attainment for the martingale transport problem
Mathias Beiglboeck, Tongseok Lim, Jan Obłój
We investigate existence of dual optimizers in one-dimensional martingale optimal transport problems. While [BNT16] established such existence for weak (quasi-sure) duality, [BHP13…
Monotone Martingale Transport Plans and Skorohod Embedding
Mathias Beiglboeck, Pierre Henry-Labordere, Nizar Touzi
We show that the left-monotone martingale coupling is optimal for any given performance function satisfying the martingale version of the Spence-Mirrlees condition, without assumin…