Generalized specific entropy on Wiener space with application to Martingale Optimal Transport

Abstract

Classical entropy regularization is poorly suited to continuous-time martingale transport, since relative entropy between diffusion laws typically forces their volatility characteristics to coincide. We introduce a specific-entropy framework based on Poisson jump approximations of continuous martingales. In the Gaussian-mark case, this yields explicit generalized specific entropy functionals on Wiener space, whose limiting costs depend not only on the limiting martingale laws but also on the microscopic approximation mechanism. This Poissonization approach avoids deterministic grid refinement and the associated high-dimensional multimarginal Sinkhorn problems, while allowing jump intensities to reflect local volatility. We prove weak convergence of the Poisson approximations and identify the limiting entropy functionals. For a trace-normalized Poisson scheme, the resulting cost defines a continuous-time specific-entropic martingale optimal transport problem, called SEMOT. This cost yields compactness, existence, and strong duality, and leads formally to a coupled Hamilton-Jacobi-Bellman/Fokker-Planck system. The resulting structure suggests Sinkhorn type numerical schemes, which we implement in one and two dimensions.