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Multiperiod martingale transport |
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| Institution: | 1. KERMIT, Department of Mathematical Modelling, Statistics and Bioinformatics, Ghent University, Coupure links 653, Ghent B-9000, Belgium;2. Department of Applied Mathematics and Computer Science, Ghent University, Krijgslaan 281 S9, Ghent B-9000, Belgium |
| Abstract: | |
| Keywords: | Optimal transport Martingale coupling Duality |
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