Fundamental properties of process distances

DOI10.1016/J.SPA.2020.03.017zbMATH Open1454.60048arXiv1701.03955OpenAlexW3016832606MaRDI QIDQ2196379FDOQ2196379

Authors: Julio Backhoff-Veraguas, Mathias Beiglböck, Manu Eder, Alois Pichler 

Publication date: 2 September 2020

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

Abstract: Information is an inherent component of stochastic processes and to measure the distance between different stochastic processes it is not sufficient to consider the distance between their laws. Instead, the information which accumulates over time and which is mathematically encoded by filtrations has to be accounted for as well. The nested distance/bicausal Wasserstein distance addresses this challenge by incorporating the filtration. It is of emerging importance due to its applications in stochastic analysis, stochastic programming, mathematical economics and other disciplines. This article establishes a number of fundamental properties of the nested distance. In particular we prove that the nested distance of processes generates a Polish topology but is itself not a complete metric. We identify its completion to be the set of nested distributions, which are a form of generalized stochastic processes. We also characterize the extreme points of the set of couplings which participate in the definition of the nested distance, proving that they can be identified with adapted deterministic maps. Finally, we compare the nested distance to an alternative metric, which could possibly be easier to compute in practical situations.

Full work available at URL: https://arxiv.org/abs/1701.03955

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zbMATH Keywords

optimal transportmartingalesinformation topologynested distancecausal Wasserstein distance

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic processes (60G99) Foundations of stochastic processes (60G05)

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Cited In (10)

• Continuity of the martingale optimal transport problem on the real line
• Stability of the weak martingale optimal transport problem
• Existence, duality, and cyclical monotonicity for weak transport costs
• Estimating processes in adapted Wasserstein distance
• All adapted topologies are equal
• Metrics on the set of semimartingale filtrations
• Extended mean field control problems: stochastic maximum principle and transport perspective
• Adapted Wasserstein distances and stability in mathematical finance
• Adapted topologies and higher rank signatures
• Stability of martingale optimal transport and weak optimal transport

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