Quantization and martingale couplings (Q5026465): Difference between revisions

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+Quantization and martingale couplings
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+MaRDI publication profile
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+math.PR
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+.10370
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+SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS
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+Sampling of probability measures in the convex order by Wasserstein projection
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+Adapted Wasserstein distances and stability in mathematical finance
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+All adapted topologies are equal
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+Existence, duality, and cyclical monotonicity for weak transport costs
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+Quantizations of probability measures and preservation of the convex order
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+Optimal transport and Skorokhod embedding
@@ Property / cites work: Optimal transport and Skorokhod embedding / rank @@
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+Model-independent bounds for option prices -- a mass transport approach
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+On a problem of optimal transport under marginal martingale constraints
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+Change of numeraire in the two-marginals martingale transport problem
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+Irreducible convex paving for decomposition of multidimensional martingale transport plans
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+Martingale optimal transport and robust hedging in continuous time
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+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
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+Structure of optimal martingale transport plans in general dimensions
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+Kantorovich duality for general transport costs and applications
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+Foundations of quantization for probability distributions
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+Computational methods for martingale optimal transport problems
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+An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
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+An explicit martingale version of the one-dimensional Brenier theorem
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+A new family of one dimensional martingale couplings
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+Foundations of Modern Probability
@@ Property / cites work: Foundations of Modern Probability / rank @@
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+Exponential rate of convergence for Lloyd's method I
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+Introduction to vector quantization and its applications for numerics
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+Numerical probability. An introduction with applications to finance
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+Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
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+Intrinsic Stationarity for Vector Quantization: Foundation of Dual Quantization
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+Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
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+Sharp Rate for the Dual Quantization Problem
@@ Property / cites work: Sharp Rate for the Dual Quantization Problem / rank @@
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+Q4340161
@@ Property / cites work: Q4340161 / rank @@
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+The Existence of Probability Measures with Given Marginals
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+Sufficient conditions for uniqueness of a locally optimal quantizer for a class of convex error weighting functions
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+Optimal Transport
@@ Property / cites work: Optimal Transport / rank @@
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