On the robust superhedging of measurable claims

Dylan Possamaï (1) , Guillaume Royer (2) , Nizar Touzi (2)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

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

Domaines: Probabilités [math.PR]

Dylan Possamaï, Guillaume Royer, Nizar Touzi. On the robust superhedging of measurable claims. Electronic Communications in Probability, 2013, 18 (95), pp.1-13. ⟨10.1214/ECP.v18-2739⟩. ⟨hal-01067272⟩