A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport

MaRDI QIDQ6509963arXivFDO

Authors Julian Sester

Has companion code repository https://github.com/juliansester/c-convex

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.

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