Research

Publications and preprints

1. The McCormick martingale optimal transport

(with E. Bayraktar and B. Han)

Available online at https://arxiv.org/abs/2401.15552, 2024.

2. An injective martingale coupling

(with D. Hobson)

Available online at https://arxiv.org/abs/2303.01578, 2023. 

3.  Supermartingale shadow couplings: the decreasing case

(with E. Bayraktar and S. Deng)

Bernoulli 30(1):143-169, 2023.

4.  Supermartingale Brenier's Theorem with full-marginals constraint

(with E. Bayraktar and S. Deng)

Frontiers of Mathematical Finance 2(2):202-243, 2023.

Peter Carr Gedenkschrift: Research Advances in Mathematical Finance (https://doi.org/10.1142/13491, Edited by Robert A. Jarrow and Dilip B. Madan).

5.  A potential-based construction of the increasing supermartingale coupling 

(with E. Bayraktar and S. Deng)

Annals of Applied Probability 33(5):3803-3834, 2023.

6.  A construction of the left-curtain coupling

(with D. Hobson)

Electronic Journal of Probability 27:1-46, 2022.

7.  The potential of the shadow measure

(with M. Beiglboeck and D. Hobson)

Electronic Communications in Probability 27(16):1-12, 2022.

8.  The left-curtain martingale coupling in the presence of atoms

(with D. Hobson)

Annals of Applied Probability 29(3):1904-1928, 2019.

9.  Robust bounds for the American Put

(with D. Hobson)

Finance and Stochastics 23(2):359-395, 2019.

10.  On the compensator in the Doob-Meyer decomposition of the Snell envelope

(with S. Jacka)

SIAM Journal on Control and Optimization 57(3):1869-1889, 2019.