Stability of martingale optimal transport and weak optimal transport
From MaRDI portal
Publication:2117461
DOI10.1214/21-AAP1694zbMATH Open1492.60105arXiv1904.04171OpenAlexW3125090849MaRDI 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
Recommendations
- On the stability of the martingale optimal transport problem: a set-valued map approach
- Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
- On a problem of optimal transport under marginal martingale constraints
- Martingale optimal transport duality
- Martingale optimal transport in the Skorokhod space
- Measurability of optimal transportation and strong coupling of martingale measures
- scientific article; zbMATH DE number 1984440
- Martingale optimal transport and robust hedging in continuous time
- A Benamou-Brenier formulation of martingale optimal transport
- Martingale optimal transport with stopping
Convergence of probability measures (60B10) Optimal transportation (49Q22) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)
Cites Work
- Measure theory. Vol. I and II
- Optimal Transport
- New concentration inequalities in product spaces
- Title not available (Why is that?)
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Bounding \(\bar d\)-distance by informational divergence: A method to prove measure concentration
- Model-independent bounds for option prices -- a mass transport approach
- Optimal transportation under controlled stochastic dynamics
- Martingale optimal transport and robust hedging in continuous time
- Robust bounds for forward start options
- Concentration of measure and isoperimetric inequalities in product spaces
- On the Monge-Kantorovich problem with additional linear constraints
- On a problem of optimal transport under marginal martingale constraints
- Optimal transport and Skorokhod embedding
- A measure concentration inequality for contracting Markov chains
- A new class of costs for optimal transport planning
- On a mixture of Brenier and Strassen theorems
- Change of numeraire in the two-marginals martingale transport problem
- Kantorovich duality for general transport costs and applications
- Fundamental properties of process distances
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Existence, duality, and cyclical monotonicity for weak transport costs
- Causal transport in discrete time and applications
- Peacocks parametrised by a partially ordered set
- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
- Adapted Wasserstein distances and stability in mathematical finance
- Structure of optimal martingale transport plans in general dimensions
- A new family of one dimensional martingale couplings
- Cyclical monotonicity and the ergodic theorem
- A proof of the Caffarelli contraction theorem via entropic regularization
- Bounds for VIX futures given S{\&}P 500 smiles
- A Proof of Lusin's Theorem
- A Benamou-Brenier formulation of martingale optimal transport
- 2017 MATRIX annals
- Computational methods for martingale optimal transport problems
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
- Sampling of probability measures in the convex order by Wasserstein projection
- Shadow couplings
- Martingale Benamou-Brenier: a probabilistic perspective
- A land of monotone plenty
- All adapted topologies are equal
Cited In (26)
- Convex order, quantization and monotone approximations of ARCH models
- Continuity of the martingale optimal transport problem on the real line
- Stability of the weak martingale optimal transport problem
- Finitely additive mass transportation
- On intermediate marginals in martingale optimal transportation
- Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
- On entropy martingale optimal transport theory
- Complete duality for martingale optimal transport on the line
- Computational methods for martingale optimal transport problems
- Maximal martingale Wasserstein inequality
- Martingale Wasserstein inequality for probability measures in the convex order
- Approximation of martingale couplings on the line in the adapted weak topology
- Multiperiod martingale transport
- One Dimensional Martingale Rearrangement Couplings
- Weak Optimal Transport with Unnormalized Kernels
- Lipschitz continuity of the Wasserstein projections in the convex order on the line
- On Strassen's theorem for support functions
- Weak transport for non‐convex costs and model‐independence in a fixed‐income market
- Weak monotone rearrangement on the line
- Martingale Benamou-Brenier: a probabilistic perspective
- On Radon barycenters of measures on spaces of measures
- Stability of entropic optimal transport and Schrödinger bridges
- Entropy martingale optimal transport and nonlinear pricing-hedging duality
- Computational methods for adapted optimal transport
- Shadows and barriers
- Supermartingale Brenier's theorem with full-marginals constraint
This page was built for publication: Stability of martingale optimal transport and weak optimal transport
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2117461)
