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On the robust superhedging of measurable claims


 
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1. Title Title of document On the robust superhedging of measurable claims
 
2. Creator Author's name, affiliation, country Dylan Possamaï; Université Paris Dauphine; France
 
2. Creator Author's name, affiliation, country Guillaume Royer; École Polytechnique; France
 
2. Creator Author's name, affiliation, country Nizar Touzi; École Polytechnique; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Robust hedging ; quasi-sure stochastic analysis.
 
3. Subject Subject classification 93E20 ; 91B30 ; 91B28.
 
4. Description Abstract

The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by van Handel, Neufeld, and Nutz. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.

 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-12-21
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2739
 
10. Identifier Digital Object Identifier 10.1214/ECP.v18-2739
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 18
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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