27 citations · 27 across the 1 of their papers we have counts for
3 papers
math.FA2019★ 27 cited
Martingale optimal transport duality
Patrick Cheridito, Matti Kiiski, David J. Prömel +1
We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capac…
math.PR2017
The Riesz representation theorem and weak compactness of semimartingales
Matti Kiiski
We show that the sequential closure of a family of probability measures on the canonical space of c{à}dl{à}g paths satisfying Stricker's uniform tightness condition is a weak…
math.PR2015
Optional and predictable projections of normal integrands and convex-valued processes
Matti Kiiski, Ari-Pekka Perkkiö
This article studies optional and predictable projections of integrands and convex-valued stochastic processes. The existence and uniqueness are shown under general conditions that…