Computational Methods for Martingale Optimal Transport Problems


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 ]


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

Topic Areas

Numerical Methods , Optimal Transport , Robustness


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

Presentation Files

The presenter has not uploaded any presentation files.