142 citations · 230 across the 39 of their papers we have counts for
4 papers · 1 filter
Duality for Borel measurable cost functions
Mathias Beiglböck, Walter Schachermayer
We consider the Monge-Kantorovich transport problem in an abstract measure theoretic setting. Our main result states that duality holds if is an arbitra…
Consistent price systems and face-lifting pricing under transaction costs
Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has condi…
Hiding a drift
Miklós Rásonyi, Walter Schachermayer, Richard Warnung
In this article we consider a Brownian motion with drift of the form \[dS_t=μ_t dt+dB_t\qquadfor t\ge0,\] with a specific nontrivial , predictable with respect to $…
Optimal and better transport plans
Mathias Beiglböck, Martin Goldstern, Gabriel Maresch +1
We consider the Monge-Kantorovich transport problem in a purely measure theoretic setting, i.e. without imposing continuity assumptions on the cost function. It is known that trans…