Dual attainment for the martingale transport problem (Q2419652)

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Dual attainment for the martingale transport problem
scientific article

    Statements

    title
    Dual attainment for the martingale transport problem (English)
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    author
    Mathias Beiglböck
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    Tongseok Lim
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    Jan Obłój
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    published in
    Bernoulli
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    publication date
    14 June 2019
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    zbMATH Keywords
    dual attainment
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    Kantorovich duality
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    martingale optimal transport
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    robust mathematical finance
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    Identifiers

    DOI
    10.3150/17-BEJ1015
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    Mathematics Subject Classification ID
    49Q22
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    49N15
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    60G46
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    91G15
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    zbMATH DE Number
    7066234
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