Compactness criterion for semimartingale laws and semimartingale optimal transport

DOI10.1090/TRAN/7663zbMATH Open1481.60053arXiv1607.03312OpenAlexW2963147472WikidataQ114848702 ScholiaQ114848702MaRDI QIDQ5222735FDOQ5222735

Authors: Chong Liu, Ariel Neufeld 

Publication date: 3 July 2019

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

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.

Full work available at URL: https://arxiv.org/abs/1607.03312

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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)

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Cited In (7)

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• Robust utility maximization with nonlinear continuous semimartingales
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• Average preserving variation processes in view of optimization
• Improved robust price bounds for multi-asset derivatives under market-implied dependence information
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