Multi-Period Martingale Optimal Transport: Classical Theory, Neural Acceleration, and Financial Applications

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Authors: Sri Sairam Gautam B
Cited by: 0

Abstract

This paper develops a computational framework for Multi-Period Martingale Optimal Transport (MMOT), addressing convergence rates, algorithmic efficiency, and financial calibration. Our contributions include: (1) Theoretical analysis: We establish discrete convergence rates of $O(\sqrt{Δt} \log(1/Δt))$ via Donsker's principle and linear algorithmic convergence of $(1-κ)^{2/3}$; (2) Algorithmic improvements: We introduce incremental updates ($O(M^2)$ complexity) and adaptive sparse grids; (3) Numerical implementation: A hybrid neural-projection solver is proposed, combining transformer-based warm-starting with Newton-Raphson projection. Once trained, the pure neural solver achieves a $1{,}597\times$ online inference speedup ($4.7$s $\to 2.9$ms) suitable for real-time applications, while the hybrid solver ensures martingale constraints to $10^{-6}$ precision. Validated on 12,000 synthetic instances (GBM, Merton, Heston) and 120 real market scenarios.

Fields of Study & Subjects

Stochastic processes and financial applications Risk and Portfolio Optimization Adaptive Dynamic Programming Control

Publication details

Journal / source
arXiv (Cornell University)
Publication date
7 January 2026
Document type
Preprint