6 papers
Lipschitz continuity of the Wasserstein projections in the convex order on the line
Benjamin Jourdain, William Margheriti, Gudmund Pammer
Wasserstein projections in the convex order were first considered in the framework of weak optimal transport, and found application in various problems such as concentration inequa…
Stability of the Weak Martingale Optimal Transport Problem
Mathias Beiglböck, Benjamin Jourdain, William Margheriti +1
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following th…
One dimensional martingale rearrangement couplings
Benjamin Jourdain, William Margheriti
We are interested in martingale rearrangement couplings. As introduced by Wiesel [37] in order to prove the stability of Martingale Optimal Transport problems, these are projection…
Approximation of martingale couplings on the line in the weak adapted topology
Mathias Beiglböck, Benjamin Jourdain, William Margheriti +1
Our main result is to establish stability of martingale couplings: suppose that is a martingale coupling with marginals . Then, given approximating marginal measures $\ti…
Martingale Wasserstein inequality for probability measures in the convex order
Benjamin Jourdain, William Margheriti
It was shown by the authors that two one-dimensional probability measures in the convex order admit a martingale coupling with respect to which the integral of is…
A new family of one dimensional martingale couplings
Benjamin Jourdain, William Margheriti
In this paper, we exhibit a new family of martingale couplings between two one-dimensional probability measures and in the convex order. This family is parametrised by two…