Stability of martingale optimal transport and weak optimal transport
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Publication:2117461
DOI10.1214/21-AAP1694zbMATH Open1492.60105OpenAlexW3125090849MaRDI QIDQ2117461FDOQ2117461
Authors: Julio D. Backhoff Veraguas, Gudmund Pammer 
Publication date: 21 March 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans converges weakly to a transport plan , then is also optimal (between its marginals). Alfonsi, Corbetta and Jourdain asked whether the same property is true for the martingale transport problem. This question seems particularly pressing since martingale transport is motivated by robust finance where data is naturally noisy. On a technical level, stability in the martingale case appears more intricate than for classical transport since optimal transport plans are not characterized by a `monotonicity'-property of their support. In this paper we give a positive answer and establish stability of the martingale transport problem. As a particular case, this recovers the stability of the left curtain coupling established by Juillet. An important auxiliary tool is an unconventional topology which takes the temporal structure of martingales into account. Our techniques also apply to the the weak transport problem introduced by Gozlan, Roberto, Samson and Tetali.
Full work available at URL: https://arxiv.org/abs/1904.04171
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