Stability of martingale optimal transport and weak optimal transport
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Publication:2117461
DOI10.1214/21-AAP1694zbMath1492.60105arXiv1904.04171OpenAlexW3125090849MaRDI QIDQ2117461
Gudmund Pammer, J. Backhoff-Veraguas
Publication date: 21 March 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.04171
Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Convergence of probability measures (60B10) Optimal transportation (49Q22)
Related Items (16)
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 ⋮ Weak transport for non‐convex costs and model‐independence in a fixed‐income market ⋮ Weak Optimal Transport with Unnormalized Kernels ⋮ Lipschitz continuity of the Wasserstein projections in the convex order on the line ⋮ On Radon barycenters of measures on spaces of measures ⋮ Computational methods for adapted optimal transport ⋮ Shadows and barriers ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ Stability of the weak martingale optimal transport problem ⋮ On intermediate marginals in martingale optimal transportation ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ Entropy martingale optimal transport and nonlinear pricing-hedging duality ⋮ Convex order, quantization and monotone approximations of ARCH models
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