Alexander Cox

University of Bath

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Martingale Optimal Transport with Stopping

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 18 Posted: 03 Mar 2017 Last Revised: 24 Nov 2017
Erhan Bayraktar, Alexander Cox and Yavor Stoev
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and University of Michigan at Ann Arbor - Department of Mathematics
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martingale optimal transport, dynamic programming, optimal stopping, stochastic Perron method, viscosity solutions, concave envelope, distribution constraints