Martingale optimal transport in the discrete case via simple linear programming techniques
Year of publication: |
2019
|
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Authors: | Bäuerle, Nicole ; Schmithals, Daniel Matthias |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 90.2019, 3, p. 453-476
|
Subject: | Martingale optimal transport | Linear programming | Convex order | Left-monotone transport plan | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Martingal | Martingale |
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