A SOLUTION TO THE MONGE TRANSPORT PROBLEM FOR BROWNIAN MARTINGALES

Abstract

We provide a solution to the problem of optimal transport by Brownian martingales in general dimensions whenever the transport cost satisfies certain subharmonic properties in the target variable as well as a stochastic version of the standard “twist condition” frequently used in deterministic Monge transport theory. This setting includes, in particular, the case of the distance cost c(x,y) =|x - y|. We prove existence and uniqueness of the solution and characterize it as the first time Brownian motion hits a barrier that is determined by solutions to a corresponding dual problem.