Abstract:We study a semimartingale optimal transport (SOT) problem where the cost depends on the full differential characteristics, and the minimisation is over all semimartingale laws with given marginals whose absolutely continuous characteristics lie in a prescribed closed convex set. Under only minimal assumptions of measurability, convexity, and lower semicontinuity on the cost function, we prove the existence of an optimal plan for SOT and establish a Kantorovich-type duality without time-regularity conditions. We further prove that SOT admits four equivalent formulations: (i) a Kantorovich duality formulation, (ii) a viscosity solution formulation of the Hamilton--Jacobi--Bellman equation, (iii) a martingale solution formulation via Markovian projection, (iv) a PDE formulation via weak solutions of a non-local Fokker--Planck--Kolmogorov equation. The framework simultaneously generalises classical optimal transport, martingale optimal transport, Schrödinger bridge problems, and barycentric weak optimal transport.
From: Boyi Hou [view email]
[v1]
Thu, 25 Jun 2026 14:18:51 UTC (33 KB)
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