Super‐replication with transaction costs under model uncertainty for continuous processes

@article{Chau2022SuperreplicationWT,
  title={Super‐replication with transaction costs under model uncertainty for continuous processes},
  author={Huy N. Chau and Masaaki Fukasawa and Mikl{\'o}s R{\'a}sonyi},
  journal={Mathematical Finance},
  year={2022}
}
We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modelled in a parametric setting. Our proof relies on a new topological framework in which no Krein–Smulian type theorem is available. 
Model Uncertainty: A Reverse Approach
Robust models in mathematical finance replace the classical single probability measure by a sufficiently rich set of probability measures on the future states of the world to capture (Knightian)

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