On the stability of the martingale optimal transport problem: a set-valued map approach

Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer (2019) and Wiesel (2019). We present a new perspective of this result using the theory of set-valued maps. In particular, using results f...

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Bibliographic Details
Main Authors: Neufeld, Ariel, Sester, Julian
Other Authors: School of Physical and Mathematical Sciences
Format: Journal Article
Language:English
Published: 2022
Subjects:
Online Access:https://hdl.handle.net/10356/159941