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General duality and dual attainment for adapted transport

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  • Daniel Krv{s}ek
  • Gudmund Pammer

Abstract

We investigate duality and existence of dual optimizers for several adapted optimal transport problems under minimal assumptions. This includes the causal and bicausal transport, the barycenter problem, and a general multimarginal problem incorporating causality constraints. Moreover, we discuss applications of our results in robust finance. We consider a non-dominated model of several financial markets where stocks are traded dynamically, but the joint stock dynamics are unknown. We show that a no-arbitrage assumption in a quasi-sure sense naturally leads to sets of multicausal couplings. Consequently, computing the robust superhedging price is equivalent to solving an adapted transport problem, and finding a superhedging strategy means solving the corresponding dual.

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  • Daniel Krv{s}ek & Gudmund Pammer, 2024. "General duality and dual attainment for adapted transport," Papers 2401.11958, arXiv.org.
    • Handle: RePEc:arx:papers:2401.11958
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    References listed on IDEAS

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