Martingale Wasserstein inequality for probability measures in the convex order
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Publication:2136998
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Cites work
- scientific article; zbMATH DE number 1909499 (Why is no real title available?)
- A new family of one dimensional martingale couplings
- A remark on the optimal transport between two probability measures sharing the same copula
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- An explicit martingale version of the one-dimensional Brenier theorem
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
- Complete duality for martingale optimal transport on the line
- Computational methods for martingale optimal transport problems
- Dual attainment for the martingale transport problem
- Gradient flows in metric spaces and in the space of probability measures
- Infinite dimensional analysis. A hitchhiker's guide.
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
- Model-independent bounds for option prices -- a mass transport approach
- On a problem of optimal transport under marginal martingale constraints
- Optimal Transport
- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
- Sampling of probability measures in the convex order by Wasserstein projection
- Sharp inequalities between centered moments
- Stability of martingale optimal transport and weak optimal transport
- Stability of the shadow projection and the left-curtain coupling
- The Existence of Probability Measures with Given Marginals
Cited in
(9)- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
- A new family of one dimensional martingale couplings
- Maximal martingale Wasserstein inequality
- An optimal transport-based characterization of convex order
- Quantizations of probability measures and preservation of the convex order
- Lipschitz continuity of the Wasserstein projections in the convex order on the line
- Martingale Wasserstein inequality for probability measures in the convex order
- Non-decreasing martingale couplings
- Quantization and martingale couplings
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