Entropic approximation for multi-dimensional martingale optimal transport - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

Entropic approximation for multi-dimensional martingale optimal transport

Résumé

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.

Dates et versions

hal-02011534 , version 1 (08-02-2019)

Identifiants

Citer

Hadrien de March. Entropic approximation for multi-dimensional martingale optimal transport. 2019. ⟨hal-02011534⟩
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