Electronic Communications in Probability

On the robust superhedging of measurable claims

Dylan Possamaï, Guillaume Royer, and Nizar Touzi

Full-text: Open access

Abstract

The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by van Handel, Neufeld, and Nutz. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.

Article information

Source
Electron. Commun. Probab., Volume 18 (2013), paper no. 95, 13 pp.

Dates
Accepted: 21 December 2013
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465315634

Digital Object Identifier
doi:10.1214/ECP.v18-2739

Mathematical Reviews number (MathSciNet)
MR3151751

Zentralblatt MATH identifier
1297.93188

Subjects
Primary: 93E20: Optimal stochastic control
Secondary: 91B30 91B28

Keywords
Robust hedging quasi-sure stochastic analysis

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar. On the robust superhedging of measurable claims. Electron. Commun. Probab. 18 (2013), paper no. 95, 13 pp. doi:10.1214/ECP.v18-2739. https://projecteuclid.org/euclid.ecp/1465315634


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