Tightness and duality of martingale transport on the Skorokhod space
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Publication:511137
DOI10.1016/j.spa.2016.07.005zbMath1406.91443arXiv1507.01125OpenAlexW2963304974MaRDI QIDQ511137
Xiaolu Tan, Gaoyue Guo, Nizar Touzi
Publication date: 14 February 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.01125
Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15) Probability theory on linear topological spaces (60B11)
Related Items (18)
Canonical supermartingale couplings ⋮ Some results on Skorokhod embedding and robust hedging with local time ⋮ Robust pricing-hedging dualities in continuous time ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Martingale optimal transport duality ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Constrained optimal transport ⋮ The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options ⋮ BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS ⋮ New characterizations of the \(S\) topology on the Skorokhod space ⋮ Duality for pathwise superhedging in continuous time ⋮ Affine processes under parameter uncertainty ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport
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