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dc.contributor.author
Cheridito, Patrick
dc.contributor.author
Kiiski, Matti
dc.contributor.author
Prömel, David J.
dc.contributor.author
Soner, H. Mete
dc.date.accessioned
2021-04-01T11:21:37Z
dc.date.available
2020-02-05T03:15:22Z
dc.date.available
2020-02-11T09:03:22Z
dc.date.available
2021-04-01T11:21:37Z
dc.date.issued
2021-04
dc.identifier.issn
1432-1807
dc.identifier.issn
0025-5831
dc.identifier.other
10.1007/s00208-019-01952-y
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/397033
dc.description.abstract
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
en_US
dc.language.iso
en
en_US
dc.publisher
Springer
en_US
dc.title
Martingale optimal transport duality
en_US
dc.type
Journal Article
dc.date.published
2020-01-24
ethz.journal.title
Mathematische Annalen
ethz.journal.volume
379
en_US
ethz.journal.issue
3-4
en_US
ethz.journal.abbreviated
Math. Ann.
ethz.pages.start
1685
en_US
ethz.pages.end
1712
en_US
ethz.grant
Asymptotics and Model Uncertainty in Optimal Control
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Berlin
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09557 - Cheridito, Patrick / Cheridito, Patrick
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02204 - RiskLab / RiskLab
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09557 - Cheridito, Patrick / Cheridito, Patrick
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02204 - RiskLab / RiskLab
ethz.grant.agreementno
172815
ethz.grant.fundername
SNF
ethz.grant.funderDoi
10.13039/501100001711
ethz.grant.program
Projekte MINT
ethz.date.deposited
2020-02-05T03:15:25Z
ethz.source
WOS
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2021-04-01T11:21:48Z
ethz.rosetta.lastUpdated
2022-03-29T06:09:37Z
ethz.rosetta.versionExported
true
ethz.COinS
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