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- W2890119835 abstract "This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex transport constraints in addition to having given initial and terminal marginals. Several applications are provided: martingale measures with volatility uncertainty, optimal transport with capacity constraints, and Skorokhod embedding with bounded times. Next, we extend this result to multi-marginal constraints. Finally, we consider an optimal transport problem with constraints and obtain its Kantorovich duality. A corollary of this result is a monotonicity principle which gives a geometric way of identifying the optimizer." @default.
- W2890119835 created "2018-09-27" @default.
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- W2890119835 date "2018-04-11" @default.
- W2890119835 modified "2023-09-28" @default.
- W2890119835 title "Transport plans with domain constraints" @default.
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- W2890119835 doi "https://doi.org/10.48550/arxiv.1804.04283" @default.
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