鞅最优传输的多边际 C-凸对偶定理
概率论
2024-03-06 v3
摘要
Beiglböck 等人(2013)建立了具有两个边际的鞅最优传输问题的凸对偶结果。本文给出该结果向多期情形的推广。
引用
@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}
}