A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport
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Publication:6509963
arXiv2305.03344MaRDI QIDQ6509963FDOQ6509963
Authors: Julian Sester 
Abstract: A convex duality result for martingale optimal transport problems with two marginals was established in Beiglb"ock et al. (2013). In this paper we provide a generalization of this result to the multi-period setting.
Has companion code repository: https://github.com/juliansester/c-convex
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