On the stability of the martingale optimal transport problem: a set-valued map approach
Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer (2019) and Wiesel (2019). We present a new perspective of this result using the theory of set-valued maps. In particular, using results f...
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| Main Authors: | , |
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| 格式: | Article |
| 語言: | English |
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2022
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| 在線閱讀: | https://hdl.handle.net/10356/159941 |
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| 機構: | Nanyang Technological University |
| 語言: | English |