69 citations · 293 across the 53 of their papers we have counts for
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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…
Convergence Rate of the Euler-Maruyama Scheme Applied to Diffusion Processes with L Q -- L Drift Coefficient and Additive Noise
Benjamin Jourdain, Stéphane Menozzi
We are interested in the time discretization of stochastic differential equations with additive d-dimensional Brownian noise and L q -- L drift coefficient when the condition d…
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…