One Dimensional Martingale Rearrangement Couplings
From MaRDI portal
Publication:6175891
DOI10.1051/ps/2022012zbMath1528.60034arXiv2101.12651OpenAlexW3128061345MaRDI QIDQ6175891
Benjamin Jourdain, W. Margheriti
Publication date: 21 August 2023
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.12651
convex ordermartingale optimal transportrobust financemartingale couplingsadapted Wasserstein distance
Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Financial applications of other theories (91G80) Optimal transportation (49Q22)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On a problem of optimal transport under marginal martingale constraints
- An explicit martingale version of the one-dimensional Brenier theorem
- Model-independent bounds for option prices -- a mass transport approach
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
- Adapted Wasserstein distances and stability in mathematical finance
- Dynamic generation of scenario trees
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Complete duality for martingale optimal transport on the line
- Structure of optimal martingale transport plans in general dimensions
- Peacocks nearby: approximating sequences of measures
- A new family of one dimensional martingale couplings
- Estimating processes in adapted Wasserstein distance
- Stability of martingale optimal transport and weak optimal transport
- Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
- Approximation of martingale couplings on the line in the adapted weak topology
- All adapted topologies are equal
- On a Wasserstein-type distance between solutions to stochastic differential equations
- Dual attainment for the martingale transport problem
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Sequential decisions under uncertainty and the maximum theorem
- From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties
- Multistage Stochastic Optimization
- A Distance For Multistage Stochastic Optimization Models
- Causal transport plans and their Monge–Kantorovich problems
- Shadow couplings
- Consistency of option prices under bid–ask spreads
- The Existence of Probability Measures with Given Marginals
This page was built for publication: One Dimensional Martingale Rearrangement Couplings