Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces

Abstract: We study an optimal transport problem with a backward martingale constraint in a pseudo-Euclidean space

S

. We show that the dual problem consists in the minimization of the expected values of the Fitzpatrick functions associated with maximal

S

-monotone sets. An optimal plan

g a m m a

and an optimal maximal

S

-monotone set

G

are characterized by the condition that the support of

g a m m a

is contained in the graph of the

S

-projection on

G

. For a Gaussian random variable

Y

, we get a unique decomposition:

Y = X + Z

, where

X

and

Z

are independent Gaussian random variables taking values, respectively, in complementary positive and negative linear subspaces of the

S

-space.

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