A new family of one dimensional martingale couplings

DOI10.1214/20-EJP543zbMath1470.60118arXiv1808.01390MaRDI QIDQ2024524

Benjamin Jourdain, W. Margheriti

Publication date: 4 May 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.01390

zbMATH Keywords

Wasserstein distanceconvex ordermartingale optimal transportmartingale couplings

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Financial applications of other theories (91G80)

Related Items (10)

Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\) ⋮ Martingale Wasserstein inequality for probability measures in the convex order ⋮ Approximation of martingale couplings on the line in the adapted weak topology ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ Quantization and martingale couplings ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ Convex order, quantization and monotone approximations of ARCH models ⋮ Stability of martingale optimal transport and weak optimal transport

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