N. Juillet

activity

20122021

most citedOn a problem of optimal transport under marginal martingale constraints

158 citations · 209 across the 10 of their papers we have counts for

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2 papers · 1 filter

math.AP2021

On absolutely continuous curves in the Wasserstein space over R and their representation by an optimal Markov process

Charles Boubel, Nicolas Juillet

Let $μ$ = ( $μ$ t)t $\in$ R be a 1-parameter family of probability measures on R. In [11] we introduced its ``Markov-quantile''process: a process X= (Xt)t $\in$ R that resembles as much…

math.OC2021

Instability of Martingale optimal transport in dimension d $\geq$ 2

Martin Brückerhoff, Nicolas Juillet

Stability of the value function and the set of minimizers w.r.t. the given data is a desirable feature of optimal transport problems. For the classical Kantorovich transport proble…

On absolutely continuous curves in the Wasserstein space over R and their representation by an optimal Markov process

Instability of Martingale optimal transport in dimension d ≥ 2

Instability of Martingale optimal transport in dimension d $\geq$ 2