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Entropic Approximation for Multi-dimensional Martingale Optimal Transport by De March, Hadrien is a scholarly article available to read on EtoBox.

What is Entropic Approximation for Multi-dimensional Martingale Optimal Transport about?

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.

Author

De March, Hadrien

Published

2018

Language

EN