Article Dans Une Revue Stochastic Processes and their Applications Année : 2017

Tightness and duality of martingale transport on the Skorokhod space

Résumé

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 .

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hal-01247005 , version 1 (20-12-2015)

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Gaoyue Guo, Xiaolu Tan, Nizar Touzi. Tightness and duality of martingale transport on the Skorokhod space. Stochastic Processes and their Applications, 2017, 127 (3), pp.927-956. ⟨10.1016/j.spa.2016.07.005⟩. ⟨hal-01247005⟩
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