E. Bayraktar, A. Cox, and Y. Stoev. (2017)cite arxiv:1701.06231Comment: Final version. To appear in SIAM Journal on Control and Optimization. Keywords: nonlinear Martingale optimal transport, dynamic programming, optimal stopping, stochastic Perron's method, viscosity solutions, state constraints, exit time problem, concave envelope, distribution constraints.
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Martingale optimal transport with stoppingE. Bayraktar, A. Cox, and Y. Stoev. (2017)cite arxiv:1701.06231Comment: Final version. To appear in SIAM Journal on Control and Optimization. Keywords: nonlinear Martingale optimal transport, dynamic programming, optimal stopping, stochastic Perron's method, viscosity solutions, state constraints, exit time problem, concave envelope, distribution constraints.
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