Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5130083 | Stochastic Processes and their Applications | 2017 | 30 Pages |
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 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Gaoyue Guo, Xiaolu Tan, Nizar Touzi,