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arXiv · 1710.07911

Computational Methods for Martingale Optimal Transport problems

Gaoyue Guo·Jan Obloj
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Abstract

We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics. We prove that the MOT value can be approximated using linear programming (LP) problems which result from a discretisation of the marginal distributions combined with a suitable relaxation of the martingale constraint. Specialising to dimension one, we provide bounds on the convergence rate of the above scheme. We also show a stability result under only partial specification of the marginal distributions. Finally, we specialise to a particular discretisation scheme which preserves the convex ordering and does not require the martingale relaxation. We introduce an entropic regularisation for the corresponding LP problem and detail the corresponding iterative Bregman projection. We also rewrite its dual problem as a minimisation problem without constraint and solve it by computing the concave envelope of scattered data.

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Gaoyue Guo, Jan Obloj. 2019-04-05. Computational Methods for Martingale Optimal Transport problems. https://arxiv.org/abs/1710.07911

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