Compactness criterion for semimartingale laws and semimartingale optimal transport

Abstract:

We provide a compactness criterion for the set of laws $\mathfrak {P}^{ac}_{sem}(\Theta )$ on the Skorokhod space for which the canonical process $X$ is a semimartingale having absolutely continuous characteristics with differential characteristics taking values in some given set $\Theta$ of Lévy triplets. Whereas boundedness of $\Theta$ implies tightness of $\mathfrak {P}^{ac}_{sem}(\Theta )$, closedness fails in general, even when choosing $\Theta$ to be additionally closed and convex, as a sequence of purely discontinuous martingales may converge to a diffusion. To that end, we provide a necessary and sufficient condition that prevents the purely discontinuous martingale part in the canonical representation of $X$ to create a diffusion part in the limit. As a result, we obtain a sufficient criterion for $\mathfrak {P}^{ac}_{sem}(\Theta )$ to be compact, which turns out to be also a necessary one if the geometry of $\Theta$ is similar to a box on the product space.

As an application, we consider a semimartingale optimal transport problem, where the transport plans are elements of $\mathfrak {P}^{ac}_{sem}(\Theta )$. We prove the existence of an optimal transport law $\widehat {\mathbb {P}}$ and obtain a duality result extending the classical Kantorovich duality to this setup.