Constrained optimal transport (Q1702545): Difference between revisions

This article deals with an abstract generalization of the classical duality theory of Kantorovich and Kellerer for classical optimal transport. This generalization is set in a Banach lattice \(X\) with an order unit. The problem is formulated as the supremum over a convex subset of the positive unit sphere of the topological dual of \(X\) and the dual problem is defined on the bi-dual of \(X\). After presenting the notation and basic results, the abstract problem is defined and then, the duality results are proved. In the second part of the article the classical optimal transport is studied and extended to constrained optimal transport; martingale measures are defined and characterized in order to study the multi-dimensional martingale optimal transport.