General duality and dual attainment for adapted transport
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866913580735004672 |
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| author | Kršek, Daniel Pammer, Gudmund |
| author_facet | Kršek, Daniel Pammer, Gudmund |
| contents | We investigate duality and existence of dual optimizers for several adapted optimal transport problems under minimal assumptions. This includes the causal and bicausal transport, the causal and bicausal barycenter problem, and a multimarginal problem incorporating causality constraints. Moreover, we characterize polar sets in the causal and bicausal setting and discuss applications of our results in robust finance. We consider a non-dominated model of several financial markets where stocks are traded dynamically, but the joint stock dynamics are unknown. We show that a no-arbitrage assumption naturally leads to sets of multicausal couplings. Consequently, computing the robust superhedging price is equivalent to solving an adapted transport problem, and finding a superhedging strategy means solving the corresponding dual. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_11958 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | General duality and dual attainment for adapted transport Kršek, Daniel Pammer, Gudmund Probability Optimization and Control Mathematical Finance We investigate duality and existence of dual optimizers for several adapted optimal transport problems under minimal assumptions. This includes the causal and bicausal transport, the causal and bicausal barycenter problem, and a multimarginal problem incorporating causality constraints. Moreover, we characterize polar sets in the causal and bicausal setting and discuss applications of our results in robust finance. We consider a non-dominated model of several financial markets where stocks are traded dynamically, but the joint stock dynamics are unknown. We show that a no-arbitrage assumption naturally leads to sets of multicausal couplings. Consequently, computing the robust superhedging price is equivalent to solving an adapted transport problem, and finding a superhedging strategy means solving the corresponding dual. |
| title | General duality and dual attainment for adapted transport |
| topic | Probability Optimization and Control Mathematical Finance |
| url | https://arxiv.org/abs/2401.11958 |