Sampling of probability measures in the convex order by Wasserstein projection

DOI10.1214/19-AIHP1014MaRDI QIDQ2227463zbMATH OpenOpenAlexFDO

Authors Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain

Publication date 15 February 2021

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.05287, https://projecteuclid.org/euclid.aihp/1593137306

zbMATH Keywords

convex orderlinear programmingmartingale optimal transportsampling techniquesWasserstein distance

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Inequalities; stochastic orderings (60E15) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: In this paper, for $mu$ and $u$ two probability measures on $mathbb{R}^d$ with finite moments of order $hoge1$, we define the respective projections for the $W_{h}o$-Wasserstein distance of $mu$ and $u$ on the sets of probability measures dominated by $u$ and of probability measures larger than $mu$ in the convex order. The $W_2$-projection of $mu$ can be easily computed when $mu$ and $u$ have finite support by solving a quadratic optimization problem with linear constraints. In dimension $d=1$, Gozlan et al.~(2018) have shown that the projections do not depend on $ho$. We explicit their quantile functions in terms of those of $mu$ and $u$. The motivation is the design of sampling techniques preserving the convex order in order to approximate Martingale Optimal Transport problems by using linear programming solvers. We prove convergence of the Wasserstein projection based sampling methods as the sample sizes tend to infinity and illustrate them by numerical experiments.

Recommendations

• scientific article; zbMATH DE number 7733427
• Sampling in a weighted Sobolev space
• Sampling inequalities in Sobolev spaces
• Sampled Gromov Wasserstein
• Stochastic approximation versus sample average approximation for Wasserstein barycenters
• Sample out-of-sample inference based on Wasserstein distance
• Sharp Wasserstein estimates for integral sampling and Lorentz summability of transport densities
• Log-Sobolev inequalities and sampling from log-concave distributions
• A class of Wasserstein metrics for probability distributions

Cites work

• A new class of costs for optimal transport planning
• A user's guide to measure theoretic probability
• An explicit martingale version of the one-dimensional Brenier theorem
• Characterization of a class of weak transport-entropy inequalities on the line
• Complete lattices of probability measures with applications to martingale theory
• Computational methods for martingale optimal transport problems
• Existence, duality, and cyclical monotonicity for weak transport costs
• Generalized Iterative Scaling for Log-Linear Models
• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 2152346 (Why is no real title available?)
• Intrinsic stationarity for vector quantization: foundation of dual quantization
• Iterative Bregman projections for regularized transportation problems
• Kantorovich duality for general transport costs and applications
• Model-independent bounds for option prices -- a mass transport approach
• On a mixture of Brenier and Strassen theorems
• On a problem of optimal transport under marginal martingale constraints
• On the rate of convergence in Wasserstein distance of the empirical measure
• Optimal quadratic quantization for numerics: the Gaussian case
• Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
• Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
• Stability of the shadow projection and the left-curtain coupling
• Stochastic and convex orders and lattices of probability measures, with a martingale interpretation
• Stochastic Order Relations and Lattices of Probability Measures
• The Existence of Probability Measures with Given Marginals

Cited in

(28)

• A new family of one dimensional martingale couplings
• Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm
• Convex order, quantization and monotone approximations of ARCH models
• Stability of martingale optimal transport and weak optimal transport
• Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
• Martingale Wasserstein inequality for probability measures in the convex order
• Approximation of martingale couplings on the line in the adapted weak topology
• Monotone convex order for the McKean-Vlasov processes
• Sampling s-Concave Functions: The Limit of Convexity Based Isoperimetry
• Shadow couplings
• Quantization and martingale couplings
• Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability
• Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
• Weak transport for non‐convex costs and model‐independence in a fixed‐income market
• Weak Optimal Transport with Unnormalized Kernels
• Lipschitz continuity of the Wasserstein projections in the convex order on the line
• Continuity of the martingale optimal transport problem on the real line
• Functional convex order for the scaled McKean-Vlasov processes
• An optimal transport-based characterization of convex order
• Backward and forward Wasserstein projections in stochastic order
• Convex ordering for stochastic Volterra equations and their Euler schemes
• Weak optimal entropy transport problems
• Convex ordering for stochastic control: the (path dependent) swing contracts case
• Calibration of the bass local volatility model
• On the equivalence of static and dynamic weak optimal transport
• Wasserstein projections in the convex order: regularity and characterization in the quadratic Gaussian case
• The McCormick martingale optimal transport
• Semi-discrete convex order and Laguerre tessellation fitting

This page was built for publication: Sampling of probability measures in the convex order by Wasserstein projection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2227463)