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One Dimensional Martingale Rearrangement Couplings - MaRDI portal

One Dimensional Martingale Rearrangement Couplings (Q6175891)

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scientific article; zbMATH DE number 7730419
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One Dimensional Martingale Rearrangement Couplings
scientific article; zbMATH DE number 7730419

    Statements

    title
    One Dimensional Martingale Rearrangement Couplings (English)
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    author
    Benjamin Jourdain
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    W. Margheriti
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    publication date
    21 August 2023
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    zbMATH Keywords
    martingale couplings
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    martingale optimal transport
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    adapted Wasserstein distance
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    robust finance
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    convex order
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    cites work
    Q5386174
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    Shadow couplings
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    Q5838558
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    Q4226355
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    Q3675305
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    Identifiers

    arXiv ID
    2101.12651
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    DOI
    10.1051/ps/2022012
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    Mathematics Subject Classification ID
    60G42
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    60E15
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    91G80
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    49Q22
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    zbMATH DE Number
    7730419
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    OpenAlex ID
    W3128061345
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