Corpus ID: 102351167

Stability of martingale optimal transport and weak optimal transport

@article{BackhoffVeraguas2019StabilityOM,
  title={Stability of martingale optimal transport and weak optimal transport},
  author={Julio Backhoff-Veraguas and Gudmund Pammer},
  journal={arXiv: Probability},
  year={2019}
}
Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans $\pi_1, \pi_2, \ldots$ converges weakly to a transport plan $\pi$, then $\pi$ is also optimal (between its marginals). Alfonsi, Corbetta and Jourdain asked whether the same property is true for the martingale transport problem. This question seems particularly pressing since martingale transport is motivated by robust finance where data is naturally noisy. On a… Expand
18 Citations
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