One Dimensional Martingale Rearrangement Couplings

DOI10.1051/ps/2022012zbMath1528.60034arXiv2101.12651OpenAlexW3128061345MaRDI QIDQ6175891

Benjamin Jourdain, W. Margheriti

Publication date: 21 August 2023

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.12651

zbMATH Keywords

convex ordermartingale optimal transportrobust financemartingale couplingsadapted Wasserstein distance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Financial applications of other theories (91G80) Optimal transportation (49Q22)

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