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.
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'