Stability of the weak martingale optimal transport problem

DOI10.1214/23-aap1950arXiv2109.06322MaRDI 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

zbMATH Keywords

monotonicity; stability; upper semicontinuity; VIX futures; convex order; martingale optimal transport; martingale coupling; robust finance; weak optimal transport

Mathematics Subject Classification ID

60G42: Martingales with discrete parameter

91G80: Financial applications of other theories

49K45: Optimality conditions for problems involving randomness

49Q22: Optimal transportation

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