Tightness and duality of martingale transport on the Skorokhod space

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:127

Article

Guo, Gaoyue¹  Tan, Xiaolu²  Touzi, Nizar¹ 

[1] Ecole Polytech, CMAP, Palaiseau, France

[2] PSL Res Univ, Univ Paris Dauphine, CEREMADE, Paris, France

关键词: S-topology;    Dynamic programming principle;    Robust superhedging;   

DOI  :  10.1016/j.spa.2016.07.005

来源: Elsevier

【 摘 要 】

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. (C) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

Free