Martingale optimal transport duality

DOI10.1007/s00208-019-01952-yzbMath1462.49072arXiv1904.04644OpenAlexW3001878201WikidataQ126288203 ScholiaQ126288203MaRDI QIDQ2664166

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

Publication date: 20 April 2021

Published in: Mathematische Annalen (Search for Journal in Brave)

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

zbMATH Keywords

optimal transportationdual representationmartingale optimal transportKantorovich functional

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15) Optimal transportation (49Q22)

Related Items (12)

Approximation of martingale couplings on the line in the adapted weak topology ⋮ Weak transport for non‐convex costs and model‐independence in a fixed‐income market ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Probability on submetric spaces ⋮ Stability of the weak martingale optimal transport problem ⋮ On intermediate marginals in martingale optimal transportation ⋮ Entropy martingale optimal transport and nonlinear pricing-hedging duality ⋮ The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Pathwise superhedging on prediction sets ⋮ Representation of increasing convex functionals with countably additive measures ⋮ One-dimensional game-theoretic differential equations

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