arXiv subjects

H. M. Soner

Publications and source records attributed to H. M. Soner.

2 recordsLinked to original sources

arXiv2015

Martingale optimal transport in the Skorokhod space

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints are required to hold for very path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options. In this second version, we included the multi-marginal case.

q-fin.PR↗

arXiv2010

Martingale Representation Theorem for the G-expectation

This paper considers the nonlinear theory of G-martingales as introduced by Peng. A martingale representation theorem for this theory is proved by using the techniques and the results established in an accompanying paper for the second order stochastic target problems and the second order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a market with an uncertain volatility.

math.PR↗