Dual attainment for the martingale transport problem

DOI10.3150/17-BEJ1015zbMath1470.49071arXiv1705.04273OpenAlexW2962893500MaRDI QIDQ2419652

Jan Obłój, Tongseok Lim, Mathias Beiglböck

Publication date: 14 June 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.04273

zbMATH Keywords

Kantorovich dualitymartingale optimal transportdual attainmentrobust mathematical finance

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Martingales and classical analysis (60G46) Optimal transportation (49Q22) Financial markets (91G15)

Related Items (14)

Fine properties of the optimal Skorokhod embedding problem ⋮ Martingale Wasserstein inequality for probability measures in the convex order ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Applications of Strassen's theorem and Choquet theory to optimal transport problems, to uniformly convex functions and to uniformly smooth functions ⋮ Geometry of vectorial martingale optimal transportations and duality ⋮ On intermediate marginals in martingale optimal transportation ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ Robust matching for teams ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ A new family of one dimensional martingale couplings ⋮ A solution to the Monge transport problem for Brownian martingales ⋮ Computational methods for martingale optimal transport problems ⋮ CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS ⋮ A new class of costs for optimal transport planning

Cites Work

• Unnamed Item
• The maximum maximum of a martingale with given \(n\) marginals
• On a problem of optimal transport under marginal martingale constraints
• Model-independent bounds for option prices -- a mass transport approach
• Duality for rectified cost functions
• Martingale optimal transport and robust hedging in continuous time
• Robust price bounds for the forward starting straddle
• Change of numeraire in the two-marginals martingale transport problem
• The Skorokhod embedding problem and its offspring
• Complete duality for martingale optimal transport on the line
• Structure of optimal martingale transport plans in general dimensions
• Optimal transport and Skorokhod embedding
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Martingale inequalities and deterministic counterparts
• Martingale Inequalities for the Maximum via Pathwise Arguments
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• ROBUST BOUNDS FOR FORWARD START OPTIONS
• The Existence of Probability Measures with Given Marginals

This page was built for publication: Dual attainment for the martingale transport problem