We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a numéraire-based admissibility condition in the primal problem to the notion of a lo...

A gauge function f(.) is a nonnegative convex function that is positively homogeneous and satisfies f(O)=O. Norms and pseudonorms are specific instances of a gauge function. This paper presents a gauge duality theory for a gauge program, which is the problem of minimizing the value of a gauge function f(.) over a convex set. The gauge dual program is also a gauge program, unlike the standard La...

We study the optimal transport between two probability measures on the real line, where the transport plans are laws of one-step martingales. A quasi-sure formulation of the dual problem is introduced and shown to yield a complete duality theory for general marginals and measurable reward (cost) functions: absence of a duality gap and existence of dual optimizers. Both properties are shown to f...

Let X be a completely regular space and let A(X) be a ring of continuous real-valued functions onX which is closed under local bounded inversion. We show that the structure space of A(X) is homeomorphic to a quotient of the Stone–Čech compactification of X. We use this result to show that any realcompactification of X is homeomorphic to a subspace of the structure space of some ring of continuo...

Wei’s celebrated Duality Theorem is generalized in several ways, expressed as duality theorems for linear codes over division rings and, more generally, duality theorems for matroids. These results are further generalized, resulting in two Wei-type duality theorems for new combinatorial structures that are introduced and named demi-matroids. These generalize matroids and are the appropriate com...

This paper gives an overview of the OBST persistent object management system. OBST has been developed by the Forschungszentrum Informatik (FZI) as a contribution to the STONE project.1 The paper summarizes the design objectives and the current status of OBST, and highlights forthcoming developments with the system.