On the stability of the martingale optimal transport problem: a set-valued map approach

• المؤلفون الرئيسيون: Neufeld, Ariel, Sester, Julian
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Science::Mathematics; Martingale Optimal Transport; Stability
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/159941
• المؤسسة: Nanyang Technological University

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...