Non-decreasing martingale couplings

DOI10.1051/ps/2024012MaRDI QIDQ6670341

Kexin Shao, Benjamin Jourdain

Publication date: 23 January 2025

Published in: European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

martingale optimal transportrobust financemartingale couplings

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Financial applications of other theories (91G80) Optimal transportation (49Q22)

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