39 citations · 110 across the 7 of their papers we have counts for
Showing 2017 · math.PRShow all
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math.PR2017★ 6 cited
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…
math.PR2017★ 2 cited
Two explicit Skorokhod embeddings for simple symmetric random walk
Xuedong He, Sang Hu, Jan Obłój +1
Motivated by problems in behavioural finance, we provide two explicit constructions of a randomized stopping time which embeds a given centered distribution on integers into a…
math.PR2017★ 17 cited
Structure of martingale transports in finite dimensions
Jan Obłój, Pietro Siorpaes
We study the structure of martingale transports in finite dimensions. We consider the family of martingale measures on with g…