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Approximation of martingale couplings on the line in the adapted weak topology
Our main result is to establish stability of martingale couplings: suppose that [Formula: see text] is a martingale coupling with marginals [Formula: see text] . Then, given approximating marginal measures [Formula: see text] in convex order, we show that there exists an approximating martingale cou...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9098648/ https://www.ncbi.nlm.nih.gov/pubmed/35578677 http://dx.doi.org/10.1007/s00440-021-01103-y |