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math.PR2025
The Fundamental Theorem of Weak Optimal Transport
Mathias Beiglböck, Gudmund Pammer, Lorenz Riess +1
The fundamental theorem of classical optimal transport establishes strong duality and characterizes optimizers through a complementary slackness condition. Milestones such as Breni…
math.PR2024
Change of numeraire for weak martingale transport
Mathias Beiglböck, Gudmund Pammer, Lorenz Riess
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Ca…