Complete duality for martingale optimal transport on the line
From MaRDI portal
Publication:1681599
DOI10.1214/16-AOP1131zbMath1417.60032arXiv1507.00671OpenAlexW2964158247MaRDI QIDQ1681599
Marcel Nutz, Nizar Touzi, Mathias Beiglböck
Publication date: 24 November 2017
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.00671
Related Items (57)
Fine properties of the optimal Skorokhod embedding problem ⋮ Bounds for VIX futures given S{\&}P 500 smiles ⋮ Canonical supermartingale couplings ⋮ Geometry of distribution-constrained optimal stopping problems ⋮ Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\) ⋮ Martingale Wasserstein inequality for probability measures in the convex order ⋮ Approximation of martingale couplings on the line in the adapted weak topology ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Martingale optimal transport duality ⋮ Pathwise superhedging under proportional transaction costs ⋮ A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ Limits of semistatic trading strategies ⋮ Dual attainment for the martingale transport problem ⋮ Irreducible convex paving for decomposition of multidimensional martingale transport plans ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ Geometry of vectorial martingale optimal transportations and duality ⋮ Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ A strong duality principle for equivalence couplings and total variation ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ On intermediate marginals in martingale optimal transportation ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ An optimal transport-based characterization of convex order ⋮ Constrained optimal transport ⋮ All adapted topologies are equal ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions ⋮ A pointwise bipolar theorem ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ Optimal martingale transport between radially symmetric marginals in general dimensions ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Change of numeraire in the two-marginals martingale transport problem ⋮ Duality for pathwise superhedging in continuous time ⋮ Distributional compatibility for change of measures ⋮ Discretisation and duality of optimal Skorokhod embedding problems ⋮ A new family of one dimensional martingale couplings ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ A solution to the Monge transport problem for Brownian martingales ⋮ Conditional nonlinear expectations ⋮ Robust pricing and hedging around the globe ⋮ Optimal stopping of stochastic transport minimizing submartingale costs ⋮ Multiperiod martingale transport ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport ⋮ Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics ⋮ Robust statistical arbitrage strategies ⋮ Shadow couplings ⋮ A Benamou-Brenier formulation of martingale optimal transport ⋮ A new class of costs for optimal transport planning ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS ⋮ Convex order, quantization and monotone approximations of ARCH models ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ An optimal transport problem with backward martingale constraints motivated by insider trading
This page was built for publication: Complete duality for martingale optimal transport on the line
