Distributionally Robust Martingale Optimal Transport

06/14/2021

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by   Zhengqing Zhou, et al.

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We study the problem of bounding path-dependent expectations (within any finite time horizon d) over the class of discrete-time martingales whose marginal distributions lie within a prescribed tolerance of a given collection of benchmark marginal distributions. This problem is a relaxation of the martingale optimal transport (MOT) problem and is motivated by applications to super-hedging in financial markets. We show that the empirical version of our relaxed MOT problem can be approximated within O( n^-1/2) error where n is the number of samples of each of the individual marginal distributions (generated independently) and using a suitably constructed finite-dimensional linear programming problem.