Quasi-sure duality for multi-dimensional martingale optimal transport


We provide a multi-dimensional quasi sure duality for the martingale optimal transport problem. We also prove a disintegration result which states a natural decomposition of the martingale optimal transport problem on the... [ view full abstract ]


  1. Hadrien De March (Ecole Polytechnique-CMAP)

Topic Area

Optimal Transport


MO-P-DA » Price Impact and Portfolio Choice (14:30 - Monday, 16th July, Davis)

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