Dominykas Norgilas

Research Interests

• Stochastic control and Optimal Stopping
• Martingale Optimal Transport and Skorokhod Embedding
• Mathematical Finance

 Teaching

• Math 574 Financial Mathematics II, Winter 2023
• Math 474 Introduction to Stochastic Analysis for Finance, Winter 2023
• Math 573 Financial Mathematics I, Fall 2022

 Publications & Preprints 

• "Supermartingale shadow couplings: the decreasing case", with E. Bayraktar and S. Deng. Available online at: https://arxiv.org/abs/2207.11732, 2022 (to appear in Bernoulli).
• "Supermartingale Brenier's Theorem with full-marginals constraint", with E. Bayraktar and S. Deng. Available online at: https://arxiv.org/abs/2212.14174, 2023 (to appear in Peter Carr Gedenkschrift and Frontiers of Mathematical Finance).
• "A potential-based construction of the increasing supermartingale coupling", with E. Bayraktar and S. Deng. Available online at: https://arxiv.org/abs/2108.03450, 2023 (to appear in Ann. Appl. Probab.).
• "A construction of the left-curtain coupling", with D. Hobson. Electron. J. Probab. 27(147), pp. 1-46, 2022.
• "The potential of the Shadow measure", with M. Beiglböck and D. Hobson. Electron. Commun. Probab. 27(16), pp. 1-12, 2022.
• "On the compensator in the Doob-Meyer decomposition of the Snell envelope", with S. Jacka. SIAM J. Control Optim. 57(3), pp. 1869-1889, 2019.
• "Robust bounds for the American Put", with D. Hobson. Finance Stoch. 23(2), pp. 359-395, 2019. 
• "The Left-Curtain martingale coupling in the presence of atoms", with D. Hobson. Ann. Appl. Probab. 29(3), pp. 1904-1928, 2019.