89 citations · 398 across the 17 of their papers we have counts for
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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…
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…
Existence and uniqueness of Arrow-Debreu equilibria with consumptions in
Dmitry Kramkov
We consider an economy where agents' consumption sets are given by the cone of non-negative measurable functions and whose preferences are defined by additive util…
Existence of an endogenously complete equilibrium driven by a diffusion
Dmitry Kramkov
The existence of complete Radner equilibria is established in an economy which parameters are driven by a diffusion process. Our results complement those in the literature. In part…