25 May 2023
Seminar, Lecture, Talk
Department of Mathematics - Hong Kong - Singapore joint Seminar Series
in Financial Mathematics/Engineering - Approximation of martingale couplings on the real line andstability in robust finance
When approximating in Wasserstein distance the
two marginals of a martingale coupling on the
real by probability measures in the convex order,
it is possible to construct a sequence of
martingale couplings between these probability