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math.PR2021
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…
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.PR2021
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…