英文标题：
《Martingale optimal transport in the Skorokhod space》
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作者：
Y. Dolinsky and H. M. Soner
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最新提交年份：
2015
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英文摘要：
The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints are required to hold for very path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options. In this second version, we included the multi-marginal case.
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中文摘要：
证明了多维cadlag过程Skorokhod空间中鞅最优运输问题的对偶表示。对偶是一个包含随机积分约束的极小化问题，类似于标准最优运输问题的Kantorovich对偶。在Skorokhod空间中的每一条路径都需要约束。这个问题的金融解释是路径依赖型欧洲期权的稳健对冲。在第二个版本中，我们包含了多边缘案例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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