arXiv:2611.08743v1 Announce Type: new Abstract: Martingale optimal transport (MOT) is a fundamental framework in robust finance, yet its stability under marginal perturbation no longer holds in high dimensions $d\geq 2$. In this paper, we introduce Wasserstein-relaxed entropic martingale optimal transport (WEMOT), which combines Wasserstein relaxation of the second marginal with entropy regularization. This formulation ensures stability under perturbations of the marginals, thereby facilitating numerical implementation. We establish strong duality and dual attainment for WEMOT, which leads to efficient Sinkhorn-type algorithms. We further prove a convergence rate of WEMOT to MOT as regularization parameters vanish, and also the quantitative stability of WEMOT with respect to marginal perturbations.
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