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2013 On the robust superhedging of measurable claims
Dylan Possamaï, Guillaume Royer, Nizar Touzi
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Electron. Commun. Probab. 18: 1-13 (2013). DOI: 10.1214/ECP.v18-2739

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.

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

Information

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

zbMATH: 1297.93188
MathSciNet: MR3151751
Digital Object Identifier: 10.1214/ECP.v18-2739

Subjects:
Primary: 93E20
Secondary: 91B28, 91B30

JOURNAL ARTICLE
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