Skorokhod空间上的一个拟必然选择分解和超对冲结果
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
摘要：
在连续时间情形下，证明了带跳资产的路径相关期权的鲁棒超套期保值对偶结果。它要求鞅测度集足够丰富，且支付函数满足某种连续性。它是可选分解定理的准确定版本的副产品，也可以被视为It引理的泛函版本，适用于（c{à}dl{à}g过程的）非光滑泛函，在Dupire意义下，这些泛函在空间上是凹的，在时间上是非增的。
英文摘要：
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some continuity property. It is a by-product of a quasi-sure version of the optional decomposition theorem, which can also be viewed as a functional version of It{ô}'s Lemma, that applies to non-smooth functionals (of c{à}dl{à}g processes) which are only concave in space and non-increasing in time, in the sense of Dupire.
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