Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)

DOI10.1214/22-ECP463zbMath1492.60108arXiv2101.06964MaRDI QIDQ2135494

Nicolas Juillet, Martin Brückerhoff

Publication date: 9 May 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.06964

zbMATH Keywords

stabilityconvex ordermartingale optimal transportmartingale couplingsMonge-Kantorovich transport problems

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Convergence of probability measures (60B10) Optimal transportation (49Q22)

Related Items (5)

Computational methods for adapted optimal transport ⋮ Stability of the weak martingale optimal transport problem ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ Backward and forward Wasserstein projections in stochastic order ⋮ Robust matching for teams

Cites Work

• Unnamed Item
• Model-independent bounds for option prices -- a mass transport approach
• Stability of the shadow projection and the left-curtain coupling
• Complete duality for martingale optimal transport on the line
• Structure of optimal martingale transport plans in general dimensions
• Optimal martingale transport between radially symmetric marginals in general dimensions
• A new family of one dimensional martingale couplings
• Stability of martingale optimal transport and weak optimal transport
• Approximation of martingale couplings on the line in the adapted weak topology
• Sampling of probability measures in the convex order by Wasserstein projection
• Computational methods for martingale optimal transport problems
• Irreducible convex paving for decomposition of multidimensional martingale transport plans
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Model-Free Hedging
• Real Analysis and Probability
• Quantization and martingale couplings
• Peacocks Parametrised by a Partially Ordered Set
• Optimal Transport

This page was built for publication: Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)