Tightness and duality of martingale transport on the Skorokhod space

Gaoyue Guo, Xiaolu Tan, Nizar Touzi

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish (US)
Pages (from-to)927-956
Number of pages30
JournalStochastic Processes and their Applications
Volume127
Issue number3
DOIs
StatePublished - Mar 1 2017

Keywords

  • Dynamic programming principle
  • Robust superhedging
  • S-topology

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

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