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The classical duality theory of Kantorovich and Kellerer for the classical optimal transport is generalized to an abstract framework and a characterization of the dual elements is provided. This abstract generalization is set in a Banach lattice $cal{X}$ with a order unit. The primal problem is given as the supremum over a convex subset of the positive unit sphere of the topological dual of $cal{X}$ and the dual problem is defined on the bi-dual of $cal{X}$. These results are then applied to several extensions of the classical optimal transport.
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following the terminology of Gozlan, Roberto, Samson and Tetali this corresponds t
Let $Y$ be a sublattice of a vector lattice $X$. We consider the problem of identifying the smallest order closed sublattice of $X$ containing $Y$. It is known that the analogy with topological closure fails. Let $overline{Y}^o$ be the order closure
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commoditys spot price evolves either as a drifted Brownian motion or as an Ornste
We propose a new optimal consumption model in which the degree of addictiveness of habit formation is directly controlled through a consumption constraint. In particular, we assume that the individual is unwilling to consume at a rate below a certain
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption and leisu