Optimal martingale transport between radially symmetric marginals in general dimensions

DOI10.1016/J.SPA.2019.06.005zbMATH Open1440.60036arXiv1412.3530OpenAlexW2395942424WikidataQ127683282 ScholiaQ127683282MaRDI QIDQ1986007FDOQ1986007

Authors: Tongseok Lim 

Publication date: 7 April 2020

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

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.

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

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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)

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Cited In (5)

• Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions
• Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
• Structure of optimal martingale transport plans in general dimensions
• Optimal control of martingales in a radially symmetric environment
• Geometry of vectorial martingale optimal transportations and duality

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