Monotonicity preserving transformations of MOT and SEP

Huesmann, M; Stebegg, F

Huesmann, M (reprint author), Rhein Friedrich Wilhelms Univ Bonn, Inst Angew Math, Endenicher Allee 60, D-53111 Bonn, Germany.

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018; 128 (4): 1114

Abstract

Recently, Beiglbock and Juillet (2016) and Beiglbock et al. (2015) established that optimizers to the martingale optimal transport problem (MOT) are c......

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