Dual attainment for the martingale transport problem

DOI10.3150/17-BEJ1015zbMATH Open1470.49071arXiv1705.04273OpenAlexW2962893500MaRDI QIDQ2419652FDOQ2419652

Authors: Mathias Beiglböck, Tongseok Lim, Jan Obłój 

Publication date: 14 June 2019

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1705.04273

Recommendations

• A generalized dual maximizer for the Monge-Kantorovich transport problem
• Complete duality for martingale optimal transport on the line
• Structure of optimal martingale transport plans in general dimensions
• Tightness and duality of martingale transport on the Skorokhod space
• Martingale optimal transport in the Skorokhod space

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)

Cites Work

• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Martingale inequalities and deterministic counterparts
• The maximum maximum of a martingale with given \(n\) marginals
• Martingale inequalities for the maximum via pathwise arguments
• The Skorokhod embedding problem and model-independent bounds for option prices
• Model-independent bounds for option prices -- a mass transport approach
• Martingale optimal transport and robust hedging in continuous time
• Robust bounds for forward start options
• The Existence of Probability Measures with Given Marginals
• The Skorokhod embedding problem and its offspring
• On a problem of optimal transport under marginal martingale constraints
• Optimal transport and Skorokhod embedding
• Duality for rectified cost functions
• Robust price bounds for the forward starting straddle
• Complete duality for martingale optimal transport on the line
• Change of numeraire in the two-marginals martingale transport problem
• Title not available (Why is that?)
• Structure of optimal martingale transport plans in general dimensions

Cited In (19)

• A new family of one dimensional martingale couplings
• The geometry of multi-marginal Skorokhod embedding
• A multi-marginal c-convex duality theorem for martingale optimal transport
• Fine properties of the optimal Skorokhod embedding problem
• On intermediate marginals in martingale optimal transportation
• Consistent upper price bounds for exotic options
• Complete duality for martingale optimal transport on the line
• Computational methods for martingale optimal transport problems
• Robust bounds for derivative prices in Markovian models
• Martingale Wasserstein inequality for probability measures in the convex order
• One Dimensional Martingale Rearrangement Couplings
• A solution to the Monge transport problem for Brownian martingales
• Robust matching for teams
• Applications of Strassen's theorem and Choquet theory to optimal transport problems, to uniformly convex functions and to uniformly smooth functions
• A generalized dual maximizer for the Monge-Kantorovich transport problem
• On the existence of dual solutions for Lorentzian cost functions
• A new class of costs for optimal transport planning
• Geometry of vectorial martingale optimal transportations and duality
• Entropy martingale optimal transport and nonlinear pricing-hedging duality

This page was built for publication: Dual attainment for the martingale transport problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2419652)