کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5130083 | 1378657 | 2017 | 30 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Tightness and duality of martingale transport on the Skorokhod space
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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 cà dlà g 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 3, March 2017, Pages 927-956
Journal: Stochastic Processes and their Applications - Volume 127, Issue 3, March 2017, Pages 927-956
نویسندگان
Gaoyue Guo, Xiaolu Tan, Nizar Touzi,