Computational methods for martingale optimal transport problems (Q2299581): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 13:31, 2 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computational methods for martingale optimal transport problems |
scientific article |
Statements
Computational methods for martingale optimal transport problems (English)
0 references
21 February 2020
0 references
martingale optimal transport
0 references
martingale relaxation
0 references
robust hedging
0 references
duality
0 references
discretization of measure
0 references
linear programming
0 references
