A multi-marginal c-convex duality theorem for martingale optimal transport (Q6569444)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A multi-marginal c-convex duality theorem for martingale optimal transport |
scientific article; zbMATH DE number 7878524
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multi-marginal c-convex duality theorem for martingale optimal transport |
scientific article; zbMATH DE number 7878524 |
Statements
A multi-marginal c-convex duality theorem for martingale optimal transport (English)
0 references
9 July 2024
0 references
In this paper, a convex duality result for martingale optimal transport due to \textit{M. Beiglböck} et al. [Finance Stoch. 17, No. 3, 477--501 (2013; Zbl 1277.91162)] is generalized to the multi-period setting.
0 references
martingale optimal transport
0 references
duality
0 references
convex biconjugate
0 references
0 references
0 references
0 references
