142 citations · 230 across the 39 of their papers we have counts for
6 papers · 1 filter
A short Proof of the Doob-Meyer Theorem
Mathias Beiglboeck, Walter Schachermayer, Bezirgen Veliyev
Every submartingale S of class D has a unique Doob-Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0. We provide a short an…
On the Duality Theory for the Monge-Kantorovich Transport Problem
Mathias Beiglböck, Christian Léonard, Walter Schachermayer
The paper is accompanying "A general Duality Theorem for the Monge-Kantorovich Transport Problem". We explain the methods used in this article in an elementary setting and present…
Asymptotics and Duality for the Davis and Norman Problem
Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
We revisit the problem of maximizing expected logarithmic utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studi…
A generalized dual maximizer for the Monge--Kantorovich transport problem
Mathias Beiglböck, Christian Léonard, Walter Schachermayer
The dual attainment of the Monge--Kantorovich transport problem is analyzed in a general setting. The spaces are assumed to be polish and equipped with Borel probability mea…
The dual optimizer for the growth-optimal portfolio under transaction costs
Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988].…
A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
Mathias Beiglböck, Walter Schachermayer, Bezirgen Veliyev
We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes allowing for a useful integration theory consist…