Tightness and duality of martingale transport on the Skorokhod space
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Publication:511137
DOI10.1016/J.SPA.2016.07.005zbMATH Open1406.91443arXiv1507.01125OpenAlexW2963304974MaRDI QIDQ511137FDOQ511137
Xiaolu Tan, Gaoyue Guo, Nizar Touzi
Publication date: 14 February 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhedging of exotic derivatives in financial mathematics, which turns out to be the corresponding Kantorovich dual. In this paper we consider the continuous-time martingale transport on the Skorokhod space of cadlag paths. Similar to the classical setting of optimal transport, we introduce different dual problems and establish the corresponding dualities by a crucial use of the S-topology and the dynamic programming principle.
Full work available at URL: https://arxiv.org/abs/1507.01125
Derivative securities (option pricing, hedging, etc.) (91G20) Probability theory on linear topological spaces (60B11) Dynamic programming in optimal control and differential games (49L20) Duality theory (optimization) (49N15)
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Cited In (20)
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