An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint
By Pierre Henry-Labordère, Xiaolu Tan, Nizar Touzi. 2016
47 citations recorded by the source corpus.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/3da31838cd6b20c28ad4567671ce88e20aa91a92
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Sigrid Kallblad
- Nizar Touzi
- Xiaolu Tan
- Marcel Nutz
- Jianfeng Zhang
- Emmanuel Gobet
- H. M. Soner
- Shige Peng
In Finance
- Xiaolu Tan
- Sigrid Kallblad
- Nizar Touzi
- Marcel Nutz
- Jianfeng Zhang
- Nicole El Karoui
- H. M. Soner
- Ariel Neufeld
Citations in the corpus
- Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks (2015, background): “In the present context of full marginals constraint, Henry-Labord`ere, Tan and Touzi [14] considered reward functions satisfying the so-called martingale Spence-Mirrlees condition, and solved an example of martingale transport problem with quasi-explicit construction of the corresponding martingale…”