Martingale optimal transport duality
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Publication:2664166
DOI10.1007/S00208-019-01952-YzbMATH Open1462.49072OpenAlexW3001878201WikidataQ126288203 ScholiaQ126288203MaRDI QIDQ2664166FDOQ2664166
Authors: Patrick Cheridito, Matti Kiiski, David J. Prömel, H. Mete Soner 
Publication date: 20 April 2021
Published in: Mathematische Annalen (Search for Journal in Brave)
Abstract: We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. These sets contain stochastic integrals defined pathwise and two such definitions starting with simple integrands are given. Another important ingredient of our analysis is a regularized version of Jakubowski's -topology on the Skorokhod space.
Full work available at URL: https://arxiv.org/abs/1904.04644
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Derivative securities (option pricing, hedging, etc.) (91G20) Optimal transportation (49Q22) Probability measures on topological spaces (60B05) Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Duality theory (optimization) (49N15)
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- Model-free price bounds under dynamic option trading
- Probability on submetric spaces
- Stability of the weak martingale optimal transport problem
- A multi-marginal c-convex duality theorem for martingale optimal transport
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- One-dimensional game-theoretic differential equations
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- Lower semicontinuity of monotone functionals in the mixed topology on \(C_b\)
- Stability of martingale optimal transport and weak optimal transport
- Tightness and duality of martingale transport on the Skorokhod space
- Entropy martingale optimal transport and nonlinear pricing-hedging duality
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