Irreducible Convex Paving for Decomposition of Multi-dimensional Martingale Transport Plans


Martingale transport plans on the line are known to have an irreducible decomposition on a (at most) countable union of intervals. We provide an extension of this decomposition for martingale transport plans in higher... [ view full abstract ]


  1. Hadrien De March (Ecole Polytechnique-CMAP)
  2. Nizar Touzi (Ecole Polytechnique-CMAP)

Topic Area

Optimal Transport


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