Continuity of the martingale optimal transport problem on the real line
Author:
Affiliation:
1. Department of Mathematics, Carnegie Mellon University
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference27 articles.
1. BACKHOFF, J., BEIGLBÖCK, M., LIN, Y. and ZALASHKO, A. (2017). Causal transport in discrete time and applications. SIAM J. Optim. 27 2528–2562.
2. BACKHOFF-VERAGUAS, J., BARTL, D., BEIGLBÖCK, M. and EDER, M. (2020). All adapted topologies are equal. Probab. Theory Related Fields 178 1125–1172.
3. BACKHOFF-VERAGUAS, J., BARTL, D., BEIGLBÖCK, M. and EDER, M. (2020). Adapted Wasserstein distances and stability in mathematical finance. Finance Stoch. 24 601–632.
4. ALFONSI, A., CORBETTA, J. and JOURDAIN, B. (2020). Sampling of probability measures in the convex order by Wasserstein projection. Ann. Inst. Henri Poincaré Probab. Stat. 56 1706–1729.
5. BEIGLBÖCK, M. and GRIESSLER, C. (2019). A land of monotone plenty. Ann. Sc. Norm. Super. Pisa Cl. Sci. (5) 19 109–127.
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