2014/04/05 by Yan Dolinsky, Dolinsky, Y., H. Meté Soner +1
Decision Sciences · Economics, Econometrics and Finance · #60G44 #91G10 #FOS: Economics and business #FOS: Mathematics #Monetary Policy and Economic Impact #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1404.1516
openalex publication_date 2014/04/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag 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 very path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options. In this second version, we included the multi-marginal case.