Existence of Transport Plans with Domain Constraints

13 Pages Posted: 1 May 2018  

Erhan Bayraktar

University of Michigan at Ann Arbor - Department of Mathematics

Xin Zhang

University of Michigan at Ann Arbor - Department of Mathematics

Zhou Zhou

University of Minnesota - Twin Cities

Date Written: April 11, 2018

Abstract

Let Ω to be one of

Keywords: Option Pricing, Strassen's Theorem, Kellerer's Theorem, Martingale optimal transport, domain constraints, bounded volatility/quadratic variation, G-expectations

Suggested Citation

Bayraktar, Erhan and Zhang, Xin and Zhou, Zhou, Existence of Transport Plans with Domain Constraints (April 11, 2018). Available at SSRN: https://ssrn.com/abstract=3161652 or http://dx.doi.org/10.2139/ssrn.3161652

Erhan Bayraktar (Contact Author)

University of Michigan at Ann Arbor - Department of Mathematics ( email )

2074 East Hall
530 Church Street
Ann Arbor, MI 48109-1043
United States

Xin Zhang

University of Michigan at Ann Arbor - Department of Mathematics ( email )

2074 East Hall
530 Church Street
Ann Arbor, MI 48109-1043
United States

Zhou Zhou

University of Minnesota - Twin Cities ( email )

420 Delaware St. SE
Minneapolis, MN 55455
United States

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