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Multiperiod martingale transport

Nutz, M; Stebegg, F; Tan, XW

Nutz, M (corresponding author), 1255 Amsterdam Ave, New York, NY 10027 USA.

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020; 130 (3): 1568

Abstract

Consider a multiperiod optimal transport problem where distributions mu(0), ..., mu(n) are prescribed and a transport corresponds to a scalar martinga......

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