Stability of the weak martingale optimal transport problem
DOI10.1214/23-aap1950arXiv2109.06322OpenAlexW3201528725MaRDI QIDQ6139683
Benjamin Jourdain, W. Margheriti, Mathias Beiglböck, Gudmund Pammer
Publication date: 19 January 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.06322
monotonicitystabilityupper semicontinuityVIX futuresconvex ordermartingale optimal transportmartingale couplingrobust financeweak optimal transport
Martingales with discrete parameter (60G42) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Optimal transportation (49Q22)
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