3 papers
math.PR2021
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…
math.PR2020
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…
math.PR2018
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…