Sampling of probability measures in the convex order by Wasserstein projection

DOI10.1214/19-AIHP1014zbMATH Open1469.60065arXiv1709.05287OpenAlexW2916196187MaRDI QIDQ2227463FDOQ2227463

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)

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.

Full work available at URL: https://arxiv.org/abs/1709.05287

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zbMATH Keywords

linear programmingWasserstein distanceconvex ordermartingale optimal transportsampling techniques

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) 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)

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Cited In (20)

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• Convex ordering for stochastic Volterra equations and their Euler schemes
• Stability of martingale optimal transport and weak optimal transport
• Quantization and martingale couplings

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