Tightness and duality of martingale transport on the Skorokhod space
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar (2017), Tightness and duality of martingale transport on the Skorokhod space, Stochastic Processes and their Applications, 127, 3, p. 927-956. 10.1016/j.spa.2016.07.005
TypeArticle accepté pour publication ou publié
Journal nameStochastic Processes and their Applications
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Abstract (EN)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 c`adì ag 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 1 .
Subjects / KeywordsS−topology; dynamic programming principle; robust superhedging
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