12 citations · 17 across the 2 of their papers we have counts for
4 papers
An extended footnote on finitely minimal martingale measures
Claus Griessler
This note contains a short discussion on the sufficiency of finite optimality in martingale transport. It is shown that finitely minimal martingale measures are solutions of the ma…
-cyclical monotonicity as a sufficient criterion for optimality in the multi-marginal Monge-Kantorovich problem
Claus Griessler
This note establishes that a generalization of -cyclical monotonicity from the Monge-Kantorovich problem with two marginals gives rise to a sufficient condition for optimality a…
A land of monotone plenty
Mathias Beiglböck, Claus Griessler
A fundamental concept in optimal transport is c-cyclical monotonicity: it allows to link the optimality of transport plans to the geometry of their support sets. Recently, related…
Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance
Martin Keller-Ressel, Claus Griessler
We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results,…