arXiv 1302.18502013-02-15q-fin.PRmath.OCmath.PR

On the Robust superhedging of measurable claims

Dylan Possamaï, Guillaume Royer, Nizar Touzi

备注：: 14 pages

英文摘要：

The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. 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.

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