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math.PR2018★ 11 cited
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.…
math.PR2018
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,…
math.PR2018
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…