Computational methods for martingale optimal transport problems

  title={Computational methods for martingale optimal transport problems},
  author={Gaoyue Guo and Jan Obł{\'o}j},
  journal={arXiv: Probability},
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… 

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