We're sorry but this page doesn't work properly without JavaScript enabled. Please enable it to continue.
Feedback

From Monge Transport to Skorokhod Embeddings

Formal Metadata

Title
From Monge Transport to Skorokhod Embeddings
Alternative Title
Optimal transportation with free end-times
Title of Series
Number of Parts
31
Author
Contributors
License
CC Attribution - NonCommercial - NoDerivatives 4.0 International:
You are free to use, copy, distribute and transmit the work or content in unchanged form for any legal and non-commercial purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
Identifiers
Publisher
Release Date
Language

Content Metadata

Subject Area
Genre
Abstract
We explore a dynamic formulation of the optimal transportation problem with the additional freedom to choose the end-time of each trajectory. The dual problem is then posed with a Hamilton-Jacobi variational inequality, which we analyze with the method of viscosity solutions. We find properties that imply the optimal stopping-time is the hitting-time of the free boundary to the variational inequality.