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

Abstract

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 ]

Authors

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

Topic Area

Optimal Transport

Session

PS » Poster Presentations (11:00 - Monday, 16th July)

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