Electronic Communications in Probability

On the robust superhedging of measurable claims

Dylan Possamaï, Guillaume Royer, and Nizar Touzi

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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

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

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

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

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

Robust hedging quasi-sure stochastic analysis

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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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