We consider cost minimizing stop** time solutions to Skorokhod embedding problems,
which deal with transporting a source probability measure to a given target measure through …

Abstract We introduce a Benamou–Brenier formulation for the continuous-time martingale
optimal transport problem as a weak length relaxation of its discrete-time counterpart. By the …

We study the problem of stop** a Brownian motion at a given distribution while optimizing
a reward function that depends on the (possibly randomized) stop** time and the …

Abstract The Skorokhod Embedding Problem is one of the classical problems in the theory
of stochastic processes, with applications in many different fields [cf. the surveys (Hobson in …

For many examples of couples (μ, ν) of probability measures on the real line in the convex
order, we observe numerically that the Hobson and Neuberger martingale coupling, which …

We consider the problem of finding consistent upper price bounds and super replication
strategies for exotic options, given the observation of call prices in the market. This field of …

We study the problem of stop** a Brownian motion at a given distribution while optimizing
a reward function that depends on the (possibly randomized) stop** time and the …

The theory of optimal transport (OT) has seen a tremendous development in the last 25
years with fascinating applications ranging from geometric and functional inequalities over …

The Skorokhod Embedding Problem (SEP) is one of the classical problems in the study of
stochastic processes, with applications in many different fields (cf. the surveys [48, 34]) …