A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport
Fuente:
arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2023
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| _version_ | 1866911788923092992 |
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| author | Sester, Julian |
| author_facet | Sester, Julian |
| contents | A convex duality result for martingale optimal transport problems with two marginals was established in Beiglböck et al. (2013). In this paper we provide a generalization of this result to the multi-period setting. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2305_03344 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport Sester, Julian Probability A convex duality result for martingale optimal transport problems with two marginals was established in Beiglböck et al. (2013). In this paper we provide a generalization of this result to the multi-period setting. |
| title | A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport |
| topic | Probability |
| url | https://arxiv.org/abs/2305.03344 |