Stability of the weak martingale optimal transport problem
Author:
Affiliation:
1. Department of Mathematics, University of Vienna
2. CERMICS, École Nationale des Ponts et Chaussées
3. Department of Mathematics, ETH Zürich
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference40 articles.
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3. ALIBERT, J.-J., BOUCHITTÉ, G. and CHAMPION, T. (2019). A new class of costs for optimal transport planning. European J. Appl. Math. 30 1229–1263.
4. DE MARCH, H.and TOUZI, N. (2019). Irreducible convex paving for decomposition of multidimensional martingale transport plans. Ann. Probab. 47 1726–1774.
5. GALICHON, A., HENRY-LABORDÈRE, P. and TOUZI, N. (2014). A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Ann. Appl. Probab. 24 312–336.
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1. An extension of martingale transport and stability in robust finance;Electronic Journal of Probability;2024-01-01
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