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...
Main Authors: | , |
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Format: | Journal Article |
Language: | English |
Published: |
2022
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Online Access: | https://hdl.handle.net/10356/159941 |