کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7550296 | 1489925 | 2018 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Monotonicity preserving transformations of MOT and SEP
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Monotonicity preserving transformations of MOT and SEP Monotonicity preserving transformations of MOT and SEP](/preview/png/7550296.png)
چکیده انگلیسی
Recently, Beiglböck and Juillet (2016) and Beiglböck et al. (2015) established that optimizers to the martingale optimal transport problem (MOT) are concentrated on c-monotone sets. In this article we characterize monotonicity preserving transformations revealing certain symmetries between optimizers of MOT for different cost functions. Due to the intimate connection of MOT and the Skorokhod embedding problem (SEP) these transformations are also monotonicity preserving and disclose symmetries for certain solutions to the optimal SEP. Furthermore, the SEP picture allows to easily understand the geometry of these transformations once we have established the SEP counterparts to the known solutions of MOT based on the monotonicity principle for SEP which in turn allows to directly read off the structure of the MOT optimizers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 4, April 2018, Pages 1114-1134
Journal: Stochastic Processes and their Applications - Volume 128, Issue 4, April 2018, Pages 1114-1134
نویسندگان
Martin Huesmann, Florian Stebegg,