Transport plans with domain constraints
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Publication:2045149
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.
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Cited in
(7)- Fine properties of the optimal Skorokhod embedding problem
- Multiperiod martingale transport
- The directional optimal transport
- Causal transport plans and their Monge-Kantorovich problems
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
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