具有满边际约束的一维布伦尼尔定理的显式鞅形式

ERN: Swaps & Forwards (Topic) Pub Date : 2014-02-13 DOI:10.2139/ssrn.2335969

P. Henry-Labordère, Xiaolu Tan, N. Touzi

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引用次数: 46

摘要

我们将Frechet-Hoeffding耦合的鞅版本扩展到无穷多边际约束设置。在双边缘语境下，这一扩展由Beiglbock和Juillet(2016)获得，并由Henry-Labordere和Touzi进一步发展(出版中)，另见Beiglbock和Henry-Labordere(预印本)。

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An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint

We provide an extension of the martingale version of the Frechet–Hoeffding coupling to the infinitely-many marginals constraints setting. In the two-marginal context, this extension was obtained by Beiglbock and Juillet (2016), and further developed by Henry-Labordere and Touzi (in press), see also Beiglbock and Henry-Labordere (Preprint).

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ERN: Swaps & Forwards (Topic)

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