Transport plans with domain constraints

DOI10.1007/S00245-020-09672-5zbMATH Open1470.60117arXiv1804.04283OpenAlexW3014249902MaRDI QIDQ2045149FDOQ2045149

Authors: Erhan Bayraktar, Xin Zhang, Zhou Zhou 

Publication date: 11 August 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex transport constraints in addition to having given initial and terminal marginals. Several applications are provided: martingale measures with volatility uncertainty, optimal transport with capacity constraints, and Skorokhod embedding with bounded times. Next, we extend this result to multi-marginal constraints. Finally, we consider an optimal transport problem with constraints and obtain its Kantorovich duality. A corollary of this result is a monotonicity principle which gives a geometric way of identifying the optimizer.

Full work available at URL: https://arxiv.org/abs/1804.04283

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zbMATH Keywords

Kantorovich dualitymartingale optimal transport\(G\)-expectationsmonotonicity principledomain constraintsbounded volatility/quadratic variation

Mathematics Subject Classification ID

Optimal transportation (49Q22) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Linear optimal control problems (49N05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cited In (2)

• Fine properties of the optimal Skorokhod embedding problem
• Model-independent pricing with insider information: a skorokhod embedding approach

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