Martingale optimal transport duality

Patrick Cheridito, Matti Kiiski, David J. Prömel, H. Mete Soner

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

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.

Original languageEnglish (US)
JournalMathematische Annalen
DOIs
StateAccepted/In press - 2020

All Science Journal Classification (ASJC) codes

  • Mathematics(all)

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