English

Complete Duality for Martingale Optimal Transport on the Line

Probability 2016-06-14 v3 Optimization and Control Mathematical Finance

Abstract

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 fail in the classical formulation. As a consequence of the duality result, we obtain a general principle of cyclical monotonicity describing the geometry of optimal transports.

Keywords

Cite

@article{arxiv.1507.00671,
  title  = {Complete Duality for Martingale Optimal Transport on the Line},
  author = {Mathias Beiglböck and Marcel Nutz and Nizar Touzi},
  journal= {arXiv preprint arXiv:1507.00671},
  year   = {2016}
}

Comments

42 pages; forthcoming in 'Annals of Probability'

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