2020/01/30 by Krzysztof J. Ciosmak, Ciosmak, Krzysztof J. · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #26B25 #47H05 #49N05 #49N15 #90C46 #FOS: Mathematics #Functional Analysis (math.FA) #Functional Equations Stability Results #Game Theory and Voting Systems #Optimization and Control (math.OC) #Optimization and Mathematical Programming #Primary 46A55 #Probability (math.PR) #Secondary 60G42
paper · pdf · doi:10.48550/arxiv.2001.11292
openalex publication_date 2020/01/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We provide a unifying interpretation of various optimal transport problems as a minimisation of a linear functional over the set of all Choquet representations of a given pair of probability measures ordered with respect to a certain convex cone of functions. This allows us to provide novel proofs of duality formulae. Among our tools is Strassen's theorem. We provide new formulations of the primal and the dual problem for martingale optimal transport employing a novel representation of the set of extreme points of probability measures in convex order on Euclidean space. We exhibit a link to uniformly convex and uniformly smooth functions and provide a new characterisation of such functions. We introduce a notion of martingale triangle inequality. We show that Kantorovich--Rubinstein duality bears an analogy in the martingale setting employing the cost functions that satisfy the inequality.