Compactness criterion for semimartingale laws and semimartingale optimal transport

DOI10.1090/TRAN/7663MaRDI QIDQ5222735zbMATH OpenOpenAlexWikidataFDO

Authors Chong Liu, Ariel Neufeld

Publication date 3 July 2019

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.03312, https://hdl.handle.net/10356/149289

zbMATH Keywords

dualitysemimartingale lawssemimartingale optimal transport problem

Mathematics Subject Classification ID

Optimal transportation (49Q22) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Duality theory (optimization) (49N15)

Abstract: We provide a compactness criterion for the set of laws $mathfrak{P}_{sem}^{ac}(Theta)$ on the Skorokhod space for which the canonical process $X$ is a semimartingale having absolutely continuous characteristics with differential characteristics taking values in some given set $Theta$ of L'evy triplets. Whereas boundedness of $Theta$ implies tightness of $mathfrak{P}_{sem}^{ac}(Theta)$, closedness fails in general, even when choosing $Theta$ to be additionally closed and convex, as a sequence of purely discontinuous martingales may converge to a diffusion. To that end, we provide a necessary and sufficient condition that prevents the purely discontinuous martingale part in the canonical representation of $X$ to create a diffusion part in the limit. As a result, we obtain a sufficient criterion for $mathfrak{P}_{sem}^{ac}(Theta)$ to be compact, which turns out to be also a necessary one if the geometry of $Theta$ is similar to a box on the product space. As an application, we consider a semimartingale optimal transport problem, where the transport plans are elements of $mathfrak{P}_{sem}^{ac}(Theta)$. We prove the existence of an optimal transport law $widehatmathbbP$ and obtain a duality result extending the classical Kantorovich duality to this setup.

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