A multi-marginal c-convex duality theorem for martingale optimal transport (Q6569444)
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scientific article; zbMATH DE number 7878524
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| English | A multi-marginal c-convex duality theorem for martingale optimal transport |
scientific article; zbMATH DE number 7878524 |
Statements
A multi-marginal c-convex duality theorem for martingale optimal transport (English)
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9 July 2024
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In this paper, a convex duality result for martingale optimal transport due to \textit{M. Beiglböck} et al. [Finance Stoch. 17, No. 3, 477--501 (2013; Zbl 1277.91162)] is generalized to the multi-period setting.
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martingale optimal transport
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duality
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convex biconjugate
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0.8157557249069214
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0.7944482564926147
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0.7915875911712646
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0.7866764664649963
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0.781492292881012
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