Applications of Strassen’s theorem and Choquet theory to optimal transport problems, to uniformly convex functions and to uniformly smooth functions

Abstract

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.