TY - UNPB
T1 - General duality and dual attainment for adapted transport
AU - Kršek, Daniel
AU - Pammer, Gudmund
PY - 2024
Y1 - 2024
N2 - 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.
AB - 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.
UR - https://arxiv.org/abs/2401.11958
U2 - 10.48550/ARXIV.2401.11958
DO - 10.48550/ARXIV.2401.11958
M3 - Preprint
BT - General duality and dual attainment for adapted transport
PB - arXiv
ER -