Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems


In this paper, we propose sampling methods preserving the convex order between two probability measures. In particular, we introduce the Wasserstein projection of a first probability measure on the set of probability measures... [ view full abstract ]


  1. Aurelien Alfonsi (Ecole Nationale des Ponts et Chaussees)
  2. Jacopo Corbetta (Zeliade Systems)
  3. Benjamin Jourdain (Ecole Nationale des Ponts et Chaussees)

Topic Areas

Computational Finance , Optimal Transport , Robustness


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

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