Duality for increasing convex functionals with countably many marginal constraints

DOI10.1215/17358787-3750133MaRDI QIDQ728009zbMATH OpenOpenAlexFDO

Authors Daniel Bartl, Patrick Cheridito, Michael Kupper, Ludovic Tangpi

Publication date 21 December 2016

Published in Banach Journal of Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.08988, https://projecteuclid.org/euclid.bjma/1478746987

zbMATH Keywords

increasing convex functionalsKantorovich dualitymodel-independent financerepresentation resultstransport problem

Mathematics Subject Classification ID

Measures and integration on abstract linear spaces (46G12) Monotone and positive operators on ordered Banach spaces or other ordered topological vector spaces (47H07) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• On duality with generalized convexity
• scientific article; zbMATH DE number 59929
• Generalized convex functionals and some duality results
• A dual generalization of convex functions
• scientific article; zbMATH DE number 3910160
• A general duality theorem for marginal problems
• Duality with generalized convexity
• Duality in convex problems of Bolza over functions of bounded variation
• Duality in problems described by convex multivalued mappings

Cited in

(20)

• Canonical supermartingale couplings
• Fatou closedness under model uncertainty
• Constrained optimal transport
• Kolmogorov-type and general extension results for nonlinear expectations
• Duality for pathwise superhedging in continuous time
• Computation of optimal transport and related hedging problems via penalization and neural networks
• A unified framework for robust modelling of financial markets in discrete time
• Efficient hedging under ambiguity in continuous time
• On nonlinear expectations and Markov chains under model uncertainty
• On the quasi-sure superhedging duality with frictions
• Martingale optimal transport duality
• Representation of increasing convex functionals with countably additive measures
• Duality Formulas for Robust Pricing and Hedging in Discrete Time
• A pointwise bipolar theorem
• Robust pricing and hedging of options on multiple assets and its numerics
• Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
• Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
• Duality for increasing convex functionals with countably many marginal constraints
• Exponential utility maximization under model uncertainty for unbounded endowments
• Robust superhedging with jumps and diffusion

This page was built for publication: Duality for increasing convex functionals with countably many marginal constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q728009)