A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport

Julian Sester

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arXiv · 2305.03344

A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport

Julian Sester

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Abstract

A convex duality result for martingale optimal transport problems with two marginals was established in Beiglb\"ock et al. (2013). In this paper we provide a generalization of this result to the multi-period setting.

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Julian Sester. 2023-05-05. A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport. https://arxiv.org/abs/2305.03344

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