Section: Application Domains

Finance

The Skorohod embedding problem (SEP) consists in finding a martingale interpolation between two probability measures. When a particular stochastic ordering between the two measures is given, Galichon et al [46] have shown that a very natural variational formulation could be given to a class of problems that includes the SEP. This formulation is related to the CFD formulation of the OT problem [2] and has applications to model-free bounds of derivative prices in Finance. It can also be interpreted as a a multi marginal Optimal Mass Transportation with infinitely many marginals [69] .