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http://arks.princeton.edu/ark:/88435/pr1058x| Abstract: | © 2015 Elsevier B.V. All rights reserved. The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cádlág processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints are required to hold for every path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options. |
| Publication Date: | 30-Jul-2015 |
| Citation: | Dolinsky, Y, Soner, HM. (2015). Martingale optimal transport in the Skorokhod space. Stochastic Processes and their Applications, 125 (10), 3893 - 3931. doi:10.1016/j.spa.2015.05.009 |
| DOI: | doi:10.1016/j.spa.2015.05.009 |
| ISSN: | 0304-4149 |
| Pages: | 3893 - 3931 |
| Type of Material: | Journal Article |
| Journal/Proceeding Title: | Stochastic Processes and their Applications |
| Version: | Author's manuscript |
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