{"@context":["https://w3id.org/fdo/context/v1",{"schema":"https://schema.org/","prov":"http://www.w3.org/ns/prov#","fdo":"https://w3id.org/fdo/vocabulary/"}],"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q2664166","@type":"DigitalObject","kernel":{"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q2664166","digitalObjectType":"https://schema.org/ScholarlyArticle","primaryIdentifier":"mardi:Q2664166","kernelVersion":"v1","immutable":true,"modified":"2026-04-03T08:21:07Z"},"profile":{"@context":"https://schema.org","@type":"ScholarlyArticle","@id":"https://portal.mardi4nfdi.de/entity/Q2664166","name":"Martingale optimal transport duality","headline":"Martingale optimal transport duality","description":"scientific article; zbMATH DE number 7335461","url":"https://portal.mardi4nfdi.de/entity/Q2664166","datePublished":"2021-04-20","author":[{"@id":"https://portal.mardi4nfdi.de/entity/Q358146"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2211340"},{"@id":"https://portal.mardi4nfdi.de/entity/Q726747"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1062594"}],"publisher":[{"@id":"https://portal.mardi4nfdi.de/entity/Q166142"}],"identifier":{"@type":"PropertyValue","propertyID":"doi","value":"10.1007/S00208-019-01952-Y","url":"https://doi.org/10.1007/S00208-019-01952-Y"},"sameAs":["https://doi.org/10.1007/S00208-019-01952-Y"],"comment":"The set \\(\\mathcal{D}([0,T];\\mathbb{R}^d_+)\\) of all \\(\\mathbb{R}^d_+\\)-valued functions \\(\\omega:[0,T]\\to\\mathbb{R}^d_+\\) that are continuous from the right and have finite left limits with respect to Jakubowski's \\(S\\)-topology is called the Skorokhod space. If \\(\\Omega\\) is a closed subset of \\(\\mathcal{D}\\), \\(X_t(\\omega)=\\omega(t)\\) is the coordinate map on \\(\\Omega\\), and \\(\\mathbb{F}^X=(\\mathcal{F}_t^X)_{t\\in[0,T]}\\) is the natural filtration of \\(X\\) given by \\(\\mathcal{F}^X_t=\\sigma(X_s;\\ s\\le t)\\), then \\(\\mathbb{F}=(\\mathcal{F}_t)\\) is the right-continuous filtration given by \\(\\mathcal{F}_t=\\mathcal{F}^X_{t+}=\\bigcap_{s<t}\\mathcal{F}^X_s\\). If \\(\\mathcal{B}(\\Omega)\\) is the set of all Borel measurable functions \\(\\xi:\\Omega\\to[-\\infty,\\infty]\\), \\(\\mathcal{B}_b(\\Omega)\\) is the subset of bounded functions in \\(\\mathcal{B}(\\Omega)\\), \\(\\mathcal{B}_p(\\Omega)\\) is the subset of functions \\(\\xi\\) in \\(\\mathcal{B}(\\Omega)\\) such that \\(\\xi(\\omega)/(1+\\|\\omega\\|^p_\\infty)\\) is bounded, \\(\\mathcal{U}_b(\\Omega)\\) and \\(\\mathcal{U}_p(\\Omega)\\) are the sets of all upper semicontinuous functions in \\(\\mathcal{B}_b(\\Omega)\\) and \\(\\mathcal{B}_p(\\Omega)\\), respectively, \\(\\mathcal{C}(\\Omega)\\) is the set of all real-valued continuous functions, and \\(\\mathcal{C}_b(\\Omega)\\) and \\(\\mathcal{C}_p(\\Omega)\\) are defined analogously to \\(\\mathcal{U}_b(\\Omega)\\) and \\(\\mathcal{U}_p(\\Omega)\\), then the set \\(\\mathcal{C}_{q,p}(\\Omega)\\) is defined as \\[ \\mathcal{C}_{q,p}(\\Omega)=\\{\\xi\\in\\mathcal{C}(\\Omega);\\ \\xi^+\\in\\mathcal{C}_q(\\Omega) \\wedge \\xi^-\\in\\mathcal{C}_p(\\Omega)\\}, \\] where \\(\\xi^+=\\max(\\xi,0)\\) and \\(\\xi^-=\\max(-\\xi,0)\\). If \\(\\mathcal{M}(\\Omega)\\) is the set of all signed Radon measures of bounded total variation on \\(\\Omega\\) and \\(\\mathcal{P}(\\Omega)\\subset\\mathcal{M}(\\Omega)\\) is the subset of probability measures, then, for \\(Q\\in\\mathcal{P}(\\Omega)\\) and \\(\\xi\\in\\mathcal{B}(\\Omega)\\), the expectation \\(\\mathbb{E}_Q[\\xi]\\in[-\\infty,\\infty]\\) is defined as \\(\\mathbb{E}_Q[\\xi]=\\mathbb{E}_Q[\\xi^+]-\\mathbb{E}_Q[\\xi^-]\\). The set of all functions \\(\\xi\\in\\mathcal{B}(\\Omega)\\) satisfying \\(\\mathbb{E}_Q[|\\xi|^p]<\\infty\\) is denoted by \\(\\mathcal{L}^p(\\Omega,Q)\\). If \\(\\mathcal{G}\\subset\\mathcal{B}(\\Omega)\\) is a convex cone, then \\(\\mathcal{Q(G)}\\) is the set of all probability measures \\(Q\\in\\mathcal{P}(\\Omega)\\) such that \\(\\mathbb{E}_Q[\\gamma]\\le 0\\) for all \\(\\gamma\\in\\mathcal{G}\\), and the canonical map \\(X\\) is an \\((\\mathbb{F},Q)\\)-martingale, that is, for every \\(t\\in[0,T]\\), \\(X_t\\in\\mathcal{L}^1(\\Omega,Q)\\) and \\(\\mathbb{E}_Q[Y\\cdot(X_t-X_T)]=0\\) for all \\(\\mathcal{F}_t\\)-measurable \\(Y\\in\\mathcal{B}_b(\\Omega)^d\\). If \\(\\Phi\\) is convex, lower semicontinuous functional defined on \\(X=\\mathcal{B}_b(\\Omega)\\) of \\(X=\\mathcal{C}_b(\\Omega)\\), then the quotient set given by a convex cone \\(\\mathcal{I}\\) is defined as \\[ \\Phi(\\xi;\\mathcal{I})=\\inf\\{c\\in\\mathbb{R};\\ c+\\ell\\ge \\xi\\ \\text{for some}\\ \\ell\\in\\mathcal{I}\\},\\ \\xi\\in X. \\] In this paper, the authors study general martingale optimal transport on a subset \\(\\Omega\\) of the Skorokhod space \\(\\mathcal{D}([0,T];\\mathbb{R}^d_+)\\). They obtain a dual representation of the Kantorovich functional which takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. In the main result of the paper, the authors show that if \\(\\mathcal{G}\\subset\\mathcal{C}_{q,p}(\\Omega)\\) is a convex cone, and there exist \\(c_q\\in\\mathbb{R}_+\\) and \\(\\xi_q\\in\\mathcal{G}\\) such that \\(|X_T|^q\\le c_q+\\xi_q\\), then \\[ \\begin{gathered} \\Phi(\\xi;\\mathcal{I(G)})=\\sigma_{\\mathcal{Q(G)}}(\\xi)\\ \\text{for all}\\ \\xi\\in\\mathcal{U}_p(\\Omega),\\ \\text{and}\\\\ \\Phi(\\xi;\\widehat{\\mathcal{I}}(\\mathcal{G}))=\\sigma_{\\mathcal{Q(G)}}(\\xi)\\ \\text{for all}\\ \\xi\\in\\mathcal{B}_p(\\Omega), \\end{gathered} \\] where \\(\\sigma_{\\mathcal{Q(G)}}(\\cdot)=\\sup_{}\\mathbb{E}_Q[\\cdot]\\) is the support functional of \\(\\mathcal{Q(G)}\\), and \\(\\widehat{\\mathcal{I}}(\\mathcal{G})\\) is the Fatou closure of \\(\\mathcal{I}(\\mathcal{G})\\).","citation":[{"@id":"https://portal.mardi4nfdi.de/entity/Q2799994"},{"@id":"https://portal.mardi4nfdi.de/entity/Q363856"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1633590"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1999600"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2282966"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2412395"},{"@id":"https://portal.mardi4nfdi.de/entity/Q354188"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1681599"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5371133"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1151666"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3415147"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4910154"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2341632"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5108229"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2403133"},{"@id":"https://portal.mardi4nfdi.de/entity/Q261912"},{"@id":"https://portal.mardi4nfdi.de/entity/Q728009"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4607049"},{"@id":"https://portal.mardi4nfdi.de/entity/Q772415"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3470221"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1340170"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1271229"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3957682"},{"@id":"https://portal.mardi4nfdi.de/entity/Q466902"},{"@id":"https://portal.mardi4nfdi.de/entity/Q468414"},{"@id":"https://portal.mardi4nfdi.de/entity/Q492958"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5667315"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1702545"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3994935"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2530680"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4523057"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2443194"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2821807"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2818217"},{"@id":"https://portal.mardi4nfdi.de/entity/Q511137"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1162768"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1650938"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1380212"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1748548"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3918541"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1890711"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3319467"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2211341"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3271386"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1624071"},{"@id":"https://portal.mardi4nfdi.de/entity/Q726748"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1391756"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2919635"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4052400"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5655887"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5508002"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2649835"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5900191"},{"@id":"https://portal.mardi4nfdi.de/entity/Q647162"},{"@id":"https://portal.mardi4nfdi.de/entity/Q693028"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3149262"}]},"provenance":{"prov:generatedAtTime":"2026-04-03T08:21:07Z","prov:wasAttributedTo":"MaRDI Knowledge Graph"}}