11.06.2018 14:15 Erick Trevino Aguilar, Universidad de Guanajuato:
Integral functionals of cadlag processes and partial superhedging of American optionsB349 (Theresienstr. 39, 80333 München)
In this talk we present advances in convex analysis and obtain a novel interchange rule for convex functionals defined over cadlag processes. This interchange rule allows to develop convex duality for a rich class of convex problems in general stochastic settings and requires a careful analysis of set valued mappings and its cadlag selections. As an application, we develop the dual problem of American option's partial hedging.