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On the robust superhedging of measurable claims

Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar (2013), On the robust superhedging of measurable claims, Electronic Communications in Probability, 18, 95. http://dx.doi.org/10.1214/ECP.v18-2739

Type
Article accepté pour publication ou publié
Date
2013
Journal name
Electronic Communications in Probability
Volume
18
Number
95
Publisher
Institute of Mathematical Statistics
Publication identifier
Metadata
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Author(s)
Possamaï, Dylan
Royer, Guillaume
Touzi, Nizar
Abstract (EN)
The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by van Handel, Neufeld, and Nutz. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.
Subjects / Keywords
problem of superhedging; robust hedging