135 citations · 666 across the 42 of their papers we have counts for
4 papers · 1 filter
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…
Duality for increasing convex functionals with countably many marginal constraints
Daniel Bartl, Patrick Cheridito, Michael Kupper +1
In this work we derive a convex dual representation for increasing convex functionals on a space of real-valued Borel measurable functions defined on a countable product of metric…
Representation of increasing convex functionals with countably additive measures
Patrick Cheridito, Michael Kupper, Ludovic Tangpi
We derive two types of representation results for increasing convex functionals in terms of countably additive measures. The first is a max-representation of functionals defined on…
Conditional Analysis on R^d
Patrick Cheridito, Michael Kupper, Nicolas Vogelpoth
This paper provides versions of classical results from linear algebra, real analysis and convex analysis in a free module of finite rank over the ring of measurable functions…