A potential-based construction of the increasing supermartingale coupling
From MaRDI portal
Abstract: The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) is an extreme point of the set of `supermartingale' couplings between two real probability measures in convex-decreasing order. In the present paper we provide an explicit construction of a triple of functions, on the graph of which the increasing supermartingale coupling concentrates. In particular, we show that the increasing supermartingale coupling can be identified with the left-curtain martingale coupling and the antitone coupling to the left and to the right of a uniquely determined regime-switching point, respectively. Our construction is based on the concept of the shadow measure. We show how to determine the potential of the shadow measure associated to a supermartingale, extending the recent results of Beiglb"{o}ck et al. (The potential of the shadow measure, Electron. Commun. Probab., 27, paper no. 16, 1--12, 2022) obtained in the martingale setting.
Recommendations
Cites work
- scientific article; zbMATH DE number 4063438 (Why is no real title available?)
- scientific article; zbMATH DE number 3516405 (Why is no real title available?)
- scientific article; zbMATH DE number 1210407 (Why is no real title available?)
- A characterization of random variables with minimum L^ 2-distance
- A construction of the left-curtain coupling
- A new proof of Kellerer's theorem
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- An explicit martingale version of the one-dimensional Brenier theorem
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
- Canonical supermartingale couplings
- Change of numeraire in the two-marginals martingale transport problem
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
- Martingales associated to peacocks using the curtain coupling
- Model-independent bounds for option prices -- a mass transport approach
- Model-independent superhedging under portfolio constraints
- Monotone martingale transport plans and Skorokhod embedding
- Multiperiod martingale transport
- On a problem of optimal transport under marginal martingale constraints
- On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options
- On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
- Optimal Transport
- Potential Processes
- Robust bounds for forward start options
- Robust bounds for the American put
- Robust price bounds for the forward starting straddle
- Shadow couplings
- Shadow martingales -- a stochastic mass transport approach to the peacock problem
- Stability of the shadow projection and the left-curtain coupling
- Stochastic finance. An introduction in discrete time.
- Structure of optimal martingale transport plans in general dimensions
- The Existence of Probability Measures with Given Marginals
- The geometry of multi-marginal Skorokhod embedding
- The left-curtain martingale coupling in the presence of atoms
- The potential of the shadow measure
Cited in
(4)
This page was built for publication: A potential-based construction of the increasing supermartingale coupling
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6187478)
