Optimal Transport and Equilibrium Problems in Mathematical Finance
The thesis consists of three independent topics, each of which is discussed in an individual chapter. The first chapter considers a multiperiod optimal transport problem where distributions μ0, . . . , μn are prescribed and a transport corresponds to a scalar martingale X with marginals Xt ∼ μ...
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| Language: | English |
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2019
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| Online Access: | https://doi.org/10.7916/d8-gmev-k212 |