Searched for: subject%3A%22optimal%255C+transport%255C+duality%22
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Bartl, Daniel (author), Kupper, Michael (author), Lux, Thibaut (author), Papapantoleon, A. (author)
Motivated by applications in model-free finance and quantitative risk management, we consider Frechet classes of multivariate distribution functions where additional information on the joint distribution is assumed, while uncertainty in the marginals is also possible. We derive optimal transport duality results for these Frechet classes that...
journal article 2022