2021/09/13 by Mathias Beiglböck, Beiglböck, Mathias, Benjamin Jourdain +5
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Geometric Analysis and Curvature Flows #Mathematical Finance (q-fin.MF) #Navier-Stokes equation solutions #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2109.06322
openalex publication_date 2021/09/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following the terminology of Gozlan, Roberto, Samson and Tetali this corresponds to weak martingale optimal transport (WMOT). In this article we establish stability of WMOT which is important since financial data can give only imprecise information on the underlying marginals. As application, we deduce the stability of the superreplication bound for VIX futures as well as the stability of stretched Brownian motion and we derive a monotonicity principle for WMOT.