Model-free superhedging duality

DOI10.1214/16-AAP1235zbMath1370.60004arXiv1506.06608MaRDI QIDQ2403133

Marco Frittelli, Marco Maggis, Matteo Burzoni

Publication date: 15 September 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.06608

zbMATH Keywords

analytic setsmodel uncertaintyrobust dualityfinite support martingale measuremodel independent marketsuperhedging theorem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Probability measures on topological spaces (60B05) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Stochastic models in economics (91B70) Classes of sets (Borel fields, (sigma)-rings, etc.), measurable sets, Suslin sets, analytic sets (28A05) Microeconomic theory (price theory and economic markets) (91B24) Duality theory for topological vector spaces (46A20)

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