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math.CA2022★ 1 cited
Singularities of Fitzpatrick and convex functions
Dmitry Kramkov, Mihai Sîrbu
In a pseudo-Euclidean space with scalar product , we show that the singularities of projections on -monotone sets and of the associated Fitzpatrick functions ar…
math.PR2022
Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces
Dmitry Kramkov, Mihai Sîrbu
We study an optimal transport problem with a backward martingale constraint in a pseudo-Euclidean space . We show that the dual problem consists in the minimization of the expec…