Approximation of martingale couplings on the line in the adapted weak topology
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Publication:2140003
DOI10.1007/s00440-021-01103-yzbMath1504.60067arXiv2101.02517OpenAlexW4210461964MaRDI QIDQ2140003
W. Margheriti, Gudmund Pammer, Benjamin Jourdain, Mathias Beiglböck
Publication date: 20 May 2022
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.02517
Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)
Related Items (5)
Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\) ⋮ Lipschitz continuity of the Wasserstein projections in the convex order on the line ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Stability of the weak martingale optimal transport problem ⋮ One Dimensional Martingale Rearrangement Couplings
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