Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
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Publication:2135494
DOI10.1214/22-ECP463zbMath1492.60108arXiv2101.06964MaRDI QIDQ2135494
Nicolas Juillet, Martin Brückerhoff
Publication date: 9 May 2022
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.06964
stabilityconvex ordermartingale optimal transportmartingale couplingsMonge-Kantorovich transport problems
Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Convergence of probability measures (60B10) Optimal transportation (49Q22)
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