2015/07/04 by Gaoyue Guo, Guo, Gaoyue, Xiaolu Tan +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Advanced Topology and Set Theory #FOS: Economics and business #FOS: Mathematics #Mathematical Dynamics and Fractals #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1507.01125
openalex publication_date 2015/07/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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 cadlag 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.