Optimal martingale transport between radially symmetric marginals in general dimensions

DOI10.1016/J.SPA.2019.06.005MaRDI QIDQ1986007zbMATH OpenOpenAlexWikidataFDO

Authors Tongseok Lim

Publication date 7 April 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.3530

zbMATH Keywords

optimal transportmartingalemonotonicityradial symmetry

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: We determine the optimal structure of couplings for the emph{Martingale transport problem} between radially symmetric initial and terminal laws $mu,u$ on $R^d$ and show the uniqueness of optimizer. Here optimality means that such solutions will minimize the functional $E|X-Y{|}^p$ where $0<pleq1$, and the dimension $d$ is arbitrary.

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Cites work

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Cited in

(8)

• On a problem of optimal transport under marginal martingale constraints
• Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
• Optimal control of martingales in a radially symmetric environment
• Irreducible convex paving for decomposition of multidimensional martingale transport plans
• Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces
• Structure of optimal martingale transport plans in general dimensions
• Optimal Brownian stopping when the source and target are radially symmetric distributions
• Geometry of vectorial martingale optimal transportations and duality

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