Duality for a Martingale Transport Problem with Moment Constraints

Abstract

We consider a weak martingale optimal transport problem related to the martingale analogue of the Benamou--Brenier formula. In contrast to the classical setting, the second marginal is not given, but specified only through a finite number of moment constraints of a particular form. For this problem, we derive a finite-dimensional dual formulation and prove the absence of a duality gap under the specified interiority condition on the constraint vector. In addition, we describe the structure of the optimal martingale coupling and its relation to Bass martingales.

25 pages