Martingale optimal transport duality

DOI10.1007/S00208-019-01952-YzbMATH Open1462.49072arXiv1904.04644OpenAlexW3001878201WikidataQ126288203 ScholiaQ126288203MaRDI QIDQ2664166FDOQ2664166

Matti Kiiski, David J. Prömel, H. Mete Soner, Patrick Cheridito

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 $S$-topology on the Skorokhod space.

Full work available at URL: https://arxiv.org/abs/1904.04644

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zbMATH Keywords

optimal transportationdual representationmartingale optimal transportKantorovich functional

Mathematics Subject Classification ID

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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Cited In (21)

• Probability on submetric spaces
• Stability of the weak martingale optimal transport problem
• A multi-marginal c-convex duality theorem for martingale optimal transport
• On intermediate marginals in martingale optimal transportation
• An optimal transport problem with backward martingale constraints motivated by insider trading
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• Weak transport for non‐convex costs and model‐independence in a fixed‐income market
• One-dimensional game-theoretic differential equations
• Lower semicontinuity of monotone functionals in the mixed topology on \(C_b\)
• Stability of martingale optimal transport and weak optimal transport
• Entropy martingale optimal transport and nonlinear pricing-hedging duality

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