A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport
Probability
2024-03-06 v3
Abstract
A convex duality result for martingale optimal transport problems with two marginals was established in Beiglb\"ock et al. (2013). In this paper we provide a generalization of this result to the multi-period setting.
Cite
@article{arxiv.2305.03344,
title = {A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport},
author = {Julian Sester},
journal= {arXiv preprint arXiv:2305.03344},
year = {2024}
}