A multi-marginal c-convex duality theorem for martingale optimal transport

被引：0
作者：
Sester, Julian [1 ]
机构：
[1] Natl Univ Singapore, Dept Math, 21 Lower Kent Ridge Rd, Singapore 119077, Singapore
来源：
STATISTICS & PROBABILITY LETTERS | 2024年 / 210卷
关键词：
Martingale optimal transport; Duality; Convex biconjugate; OPTIONS;
D O I：
10.1016/j.spl.2024.110112
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A convex duality result for martingale optimal transport problems with two marginals was established in Beiglb & ouml;ck et al. (2013). In this paper we provide a generalization of this result to the multi -period setting.
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页数：6
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