most citedSupermartingale shadow couplings: the decreasing case

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math.PR2022★ 1 cited

Supermartingale shadow couplings: the decreasing case

Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas

For two measures and that are in convex-decreasing order, Nutz and Stebegg (Canonical supermartingale couplings, Ann. Probab., 46(6):3351--3398, 2018) studied the optimal t…