The potential of the shadow measure

DOI10.1214/22-ECP457zbMATH Open1492.60106arXiv2008.09936MaRDI QIDQ2113271FDOQ2113271

David Hobson, Dominykas Norgilas, Mathias Beiglböck

Publication date: 11 March 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: It is well known that given two probability measures $mu$ and $u$ on $mathbbR$ in convex order there exists a discrete-time martingale with these marginals. Several solutions are known (for example from the literature on the Skorokhod embedding problem in Brownian motion). But, if we add a requirement that the martingale should minimise the expected value of some functional of its starting and finishing positions then the problem becomes more difficult. Beiglb"{o}ck and Juillet (Ann. Probab. 44 (2016) 42-106) introduced the shadow measure which induces a family of martingale couplings, and solves the optimal martingale transport problem for a class of bivariate objective functions. In this article we extend their (existence and uniqueness) results by providing an explicit construction of the shadow measure and, as an application, give a simple proof of its associativity.

Full work available at URL: https://arxiv.org/abs/2008.09936

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zbMATH Keywords

optimal transportmartingalesconvex ordercouplingspeacocks

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

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Cited In (7)

• A construction of the left-curtain coupling
• On intermediate marginals in martingale optimal transportation
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• Supermartingale shadow couplings: the decreasing case
• A potential-based construction of the increasing supermartingale coupling
• Shadows and barriers
• Supermartingale Brenier's theorem with full-marginals constraint

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