Instability of martingale optimal transport in dimension d 2

DOI10.1214/22-ECP463zbMATH Open1492.60108arXiv2101.06964MaRDI QIDQ2135494FDOQ2135494

Authors: Martin Brückerhoff, Nicolas Juillet 

Publication date: 9 May 2022

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

Abstract: Stability of the value function and the set of minimizers w.r.t. the given data is a desirable feature of optimal transport problems. For the classical Kantorovich transport problem, stability is satisfied under mild assumptions and in general frameworks such as the one of Polish spaces. However, for the martingale transport problem several works based on different strategies established stability results for R only. We show that the restriction to dimension d = 1 is not accidental by presenting a sequence of marginal distributions on R 2 for which the martingale optimal transport problem is neither stable w.r.t. the value nor the set of minimizers. Our construction adapts to any dimension d $ge$ 2. For d $ge$ 2 it also provides a contradiction to the martingale Wasserstein inequality established by Jourdain and Margheriti in d = 1.

Full work available at URL: https://arxiv.org/abs/2101.06964

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zbMATH Keywords

stabilityconvex ordermartingale optimal transportmartingale couplingsMonge-Kantorovich transport problems

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Optimal transportation (49Q22) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)

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Cited In (8)

• Stability of the weak martingale optimal transport problem
• On the stability of the martingale optimal transport problem: a set-valued map approach
• Maximal martingale Wasserstein inequality
• One Dimensional Martingale Rearrangement Couplings
• Backward and forward Wasserstein projections in stochastic order
• Robust matching for teams
• Stability of martingale optimal transport and weak optimal transport
• Computational methods for adapted optimal transport

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