Dual attainment for the martingale transport problem

DOI10.3150/17-BEJ1015MaRDI QIDQ2419652zbMATH OpenOpenAlexFDO

Authors Mathias Beiglböck, Tongseok Lim, Jan Obłój

Publication date 14 June 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.04273, https://projecteuclid.org/euclid.bj/1560326422

zbMATH Keywords

Kantorovich dualitymartingale optimal transportdual attainmentrobust mathematical finance

Mathematics Subject Classification ID

Optimal transportation (49Q22) Financial markets (91G15) Duality theory (optimization) (49N15) Martingales and classical analysis (60G46)

Abstract: We investigate existence of dual optimizers in one-dimensional martingale optimal transport problems. While [BNT16] established such existence for weak (quasi-sure) duality, [BHP13] showed existence for the natural stronger pointwise duality may fail even in regular cases. We establish that (pointwise) dual maximizers exist when $ymapstoc(x,y)$ is convex, or equivalent to a convex function. It follows that when marginals are compactly supported, the existence holds when the cost $c(x,y)$ is twice continuously differentiable in $y$. Further, this may not be improved as we give examples with $c(x,cdot)in{C}^{2-epsilon}$, $epsilon>0$, where dual attainment fails. Finally, when measures are compactly supported, we show that dual optimizers are Lipschitz if $c$ is Lipschitz.

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Cited in

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• A new family of one dimensional martingale couplings
• The geometry of multi-marginal Skorokhod embedding
• Fine properties of the optimal Skorokhod embedding problem
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• On the existence of dual solutions for Lorentzian cost functions
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• Geometry of vectorial martingale optimal transportations and duality
• Entropy martingale optimal transport and nonlinear pricing-hedging duality

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