Work

Entropic approximation for multi-dimensional martingale optimal transport

Year: 2018

Type: preprint

Abstract: We study the existing algorithms that solve the multidimensional martingale optimal transport. Then we provide a new algorithm based on entropic regularization and Newton's method. Then we provide theoretical convergence rate results and we check that this algorithm performs better through numerical experiments. We also give a simple way to deal with the absence of convex ordering among the marginals. Furthermore, we provide a new universal bound on the error linked to entropy.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1812.11104

Author: De March, Hadrien

Institutions: École Polytechnique, Centre de Mathématiques Appliquées de l'École polytechnique

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2907619282

Cites: 1

Cited by: 11

Related to: 10