Martingale Optimal Transport with Stopping
Martingale Optimal Transport with Stopping
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in [A. M. G. Cox and S. Källblad, SIAM J. Control Optim., 55 (2017), pp. 3409--3436] allows us to obtain an equivalent infinite dimensional controller-stopper problem. We use the stochastic …