Tightness and duality of martingale transport on the Skorokhod space

Gaoyue Guo, Xiaolu Tan and Nizar Touzi

Stochastic Processes and their Applications, 2017, vol. 127, issue 3, 927-956

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 càdlàg 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.

Keywords: S-topology; Dynamic programming principle; Robust superhedging (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (13)

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DOI: 10.1016/j.spa.2016.07.005

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