Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems.
Authors
Publication date
- ALFONSI Aurelien
- CORBETTA Jacopo
- JOURDAIN Benjamin
2017
Publication type
Other
Summary
Motivated by the approximation of Martingale Optimal Transport problems, we study sampling methods preserving the convex order for two probability measures $\mu$ and $\nu$ on $\mathbb{R}^d$, with $\nu$ dominating $\mu$. When $(X_i)_{1\le i\le I}$ (resp.
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