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.
"On the robust superhedging of measurable claims." Electron. Commun. Probab. 18 1 - 13, 2013. https://doi.org/10.1214/ECP.v18-2739