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The dual representation of the martingale optimal transport problem in theSkorokhod space of multi dimensional cadlag processes is proved. The dual is aminimization problem with constraints involving stochastic integrals and issimilar to the Kantorovich dual of the standard optimal transport problem. Theconstraints are required to hold for very path in the Skorokhod space. Thisproblem has the financial interpretation as the robust hedging of pathdependent European options.  In this second version, we included the multi-marginal case.

Martingale optimal transport in the Skorokhod space