Computational Methods for Martingale Optimal Transport Problems

Abstract

We develop numerical methods for solving the martingale optimal transport (MOT) problem. We prove that the MOT problem can be approximated through a sequence of linear programming (LP) problems which result from a... [ view full abstract ]

Authors

  1. Gaoyue Guo (University of Oxford)
  2. Jan Obloj (University of Oxford)

Topic Areas

Numerical Methods , Optimal Transport , Robustness

Session

MO-A-DA » Optimal Martingale Transport (11:30 - Monday, 16th July, Davis)

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