Entropic approximation for multi-dimensional martingale optimal transport

Hadrien De March

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arXiv · 1812.11104

Entropic approximation for multi-dimensional martingale optimal transport

Hadrien De March

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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.

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BibTeX RIS

Hadrien De March. 2018-12-28. Entropic approximation for multi-dimensional martingale optimal transport. https://arxiv.org/abs/1812.11104

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