Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness
DOI10.1137/21M144709XzbMath1483.60031arXiv1709.00641OpenAlexW2886098351MaRDI QIDQ5037497
Daniel Bartl, Michael Kupper, Antonis Papapantoleon, Stephan Eckstein, Thibaut Lux
Publication date: 1 March 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.00641
dependence uncertaintyFréchet classessharpness of boundsimproved Fréchet-Hoeffding boundsmarginal uncertaintyoptimal transport dualityrelaxed duality
Inequalities; stochastic orderings (60E15) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15) Measures and integrals in product spaces (28A35) Optimal transportation (49Q22)
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