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A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport

Published 5 May 2023 in math.PR | (2305.03344v3)

Abstract: A convex duality result for martingale optimal transport problems with two marginals was established in Beiglb\"ock et al. (2013). In this paper we provide a generalization of this result to the multi-period setting.

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Authors (1)

  1. Julian Sester 

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