89 citations · 398 across the 17 of their papers we have counts for
18 papers
Backward martingale transport maps and equilibrium with insider
Dmitry Kramkov, Mihai Sîrbu
We consider an optimal transport problem with backward martingale constraint. The objective function is given by the scalar product of a pseudo-Euclidean space . We show that th…
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…
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…
An optimal transport problem with backward martingale constraints motivated by insider trading
Dmitry Kramkov, Yan Xu
We study a single-period optimal transport problem on with a covariance-type cost function and a backward martingale constraint. We sho…
Density of the set of probability measures with the martingale representation property
Dmitry Kramkov, Sergio Pulido
Let be a multi-dimensional random variable. We show that the set of probability measures such that the -martingale $S^{\mathbb{Q}}_t=\mathbb{E}^{\mathb…
Muckenhoupt's condition and the existence of the optimal martingale measure
Dmitry Kramkov, Kim Weston
In the problem of optimal investment with utility function defined on , we formulate sufficient conditions for the dual optimizer to be a uniformly integrable martingal…