Martingale optimal transport duality

被引：17
|
作者：
Cheridito, Patrick [1 ]
Kiiski, Matti [1 ]
Proemel, David J. [2 ]
Soner, H. Mete [3 ]
机构：
[1] Swiss Fed Inst Technol, Dept Math, Ramistr 101, CH-8092 Zurich, Switzerland
[2] Univ Oxford, Math Inst, Andrew Wiles Bldg,Woodstock Rd, Oxford OX2 6GG, England
[3] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08540 USA
来源：
MATHEMATISCHE ANNALEN | 2021年 / 379卷 / 3-4期
关键词：
60B05; 60G44; 91B24; 91G20; FUNDAMENTAL THEOREM; ARBITRAGE;
D O I：
10.1007/s00208-019-01952-y
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. These sets contain stochastic integrals defined pathwise and two such definitions starting with simple integrands are given. Another important ingredient of our analysis is a regularized version of Jakubowski's S-topology on the Skorokhod space.
引用
收藏
页码：1685 / 1712
页数：28
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