Financial/Actuarial Mathematics Seminar

Martingale Optimal Transport and Skorokhod Embedding Problems are naturally studied alongside their dual problems, also known as Robust Hedging Problems. I will explore the question of Strong Duality, i.e. the absence of a duality gap and existence of a dual optimizer, in both discrete and continuous time. In particular I will discuss how the choice of the dual domain can affect Strong Duality and how the existence of a dual optimizer allows for an easy derivation of Monotonicity Principles.
Speaker(s): Florian Stebegg (Columbia University)