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math.PR2026
Markovization of Randomized Stopping Times
Kirill Sokolov
We study randomized stopping times for a Markov process, described by a progressively measurable intensity . We prove that every admissible intensity has a Markovian repres…
math.PR2026
Duality for a Martingale Transport Problem with Moment Constraints
Alexander V. Kolesnikov, Aleksandra Novikova, Kirill Sokolov
We consider a weak martingale optimal transport problem related to the martingale analogue of the Benamou--Brenier formula. In contrast to the classical setting, the second margina…