11 citations · 11 across the 1 of their papers we have counts for
4 papers
Entropic approximation for multi-dimensional martingale optimal transport
Hadrien De March
We study the existing algorithms that solve the multidimensional martingale optimal transport. Then we provide a new algorithm based on entropic regularization and Newton's method.…
Optimal trading using signals
Hadrien De March, Charles-Albert Lehalle
In this paper we propose a mathematical framework to address the uncertainty emergingwhen the designer of a trading algorithm uses a threshold on a signal as a control. We rely ona…
Quasi-sure duality for multi-dimensional martingale optimal transport
Hadrien De March
Based on the multidimensional irreducible paving of De March & Touzi, we provide a multi-dimensional version of the quasi sure duality for the martingale optimal transport problem,…
Local structure of multi-dimensional martingale optimal transport
Hadrien De March
This paper analyzes the support of the conditional distribution of optimal martingale transport plans in higher dimension. In the context of a distance coupling in dimension larger…