Computational methods for martingale optimal transport problems
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Publication:2299581
DOI10.1214/19-AAP1481zbMath1433.49043arXiv1710.07911OpenAlexW3000038523MaRDI QIDQ2299581
Publication date: 21 February 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.07911
linear programmingdualityrobust hedgingmartingale optimal transportdiscretization of measuremartingale relaxation
Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Martingales and classical analysis (60G46) Discrete approximations in optimal control (49M25) Stochastic analysis (60H99) Manifolds and measure-geometric topics (49Q99)
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