- Journal Article
We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. These sets contain stochastic integrals defined pathwise and two such definitions starting with simple integrands are given. Another important ingredient of our analysis is a regularized version of Jakubowski’s S-topology on the Skorokhod space. © Springer-Verlag GmbH Germany, part of Springer Nature 2020 Show more
Journal / seriesMathematische Annalen
Pages / Article No.
Organisational unit09557 - Cheridito, Patrick / Cheridito, Patrick
172815 - Asymptotics and Model Uncertainty in Optimal Control (SNF)
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