Multiperiod martingale transport

DOI10.1016/J.SPA.2019.05.010zbMATH Open1444.60033arXiv1703.10588OpenAlexW2604253913WikidataQ127759380 ScholiaQ127759380MaRDI QIDQ2301489FDOQ2301489

Authors: Marcel Nutz, Florian Stebegg, Xiaowei Tan 

Publication date: 24 February 2020

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

Abstract: Consider a multiperiod optimal transport problem where distributions $m{u}_0,dots,m{u}_n$ are prescribed and a transport corresponds to a scalar martingale $X$ with marginals $X_{t}simm{u}_t$. We introduce particular couplings called left-monotone transports; they are characterized equivalently by a no-crossing property of their support, as simultaneous optimizers for a class of bivariate transport cost functions with a Spence--Mirrlees property, and by an order-theoretic minimality property. Left-monotone transports are unique if $m{u}_0$ is atomless, but not in general. In the one-period case $n=1$, these transports reduce to the Left-Curtain coupling of Beiglb"ock and Juillet. In the multiperiod case, the bivariate marginals for dates $(0,t)$ are of Left-Curtain type, if and only if $m{u}_0,dots,m{u}_n$ have a specific order property. The general analysis of the transport problem also gives rise to a strong duality result and a description of its polar sets. Finally, we study a variant where the intermediate marginals $m{u}_1,dots,m{u}_{n-1}$ are not prescribed.

Full work available at URL: https://arxiv.org/abs/1703.10588

Recommendations

• On a problem of optimal transport under marginal martingale constraints
• A construction of the left-curtain coupling
• Monotone martingale transport plans and Skorokhod embedding
• Stability of martingale optimal transport and weak optimal transport
• Transport plans with domain constraints

zbMATH Keywords

optimal transportdualitymartingale coupling

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Linear optimal control problems (49N05)

Cites Work

• Title not available (Why is that?)
• Optimal and better transport plans
• A general version of the fundamental theorem of asset pricing
• Stochastic finance. An introduction in discrete time.
• Stochastic optimal control. The discrete time case
• Robust hedging of the lookback option
• Arbitrage and duality in nondominated discrete-time models
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• The maximum maximum of a martingale with given \(n\) marginals
• The Skorokhod embedding problem and model-independent bounds for option prices
• Duality theorems for marginal problems
• Model-independent bounds for option prices -- a mass transport approach
• Optimal transportation under controlled stochastic dynamics
• Superreplication under volatility uncertainty for measurable claims
• Martingale optimal transport and robust hedging in continuous time
• Robust pricing and hedging of double no-touch options
• Robust bounds for forward start options
• Robust fundamental theorem for continuous processes
• The Existence of Probability Measures with Given Marginals
• The Skorokhod embedding problem and its offspring
• On a problem of optimal transport under marginal martingale constraints
• Peacocks and associated martingales, with explicit constructions
• Dual formulation of second order target problems
• Optimal transport and Skorokhod embedding
• An explicit martingale version of the one-dimensional Brenier theorem
• Robust price bounds for the forward starting straddle
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks
• Optimal Skorokhod embedding under finitely many marginal constraints
• Martingale optimal transport in the Skorokhod space
• Stability of the shadow projection and the left-curtain coupling
• Complete duality for martingale optimal transport on the line
• Pathwise superreplication via Vovk's outer measure
• Martingales associated to peacocks using the curtain coupling
• Structure of optimal martingale transport plans in general dimensions
• Canonical supermartingale couplings
• Monotone martingale transport plans and Skorokhod embedding
• Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
• Root to Kellerer
• Irreducible convex paving for decomposition of multidimensional martingale transport plans
• Shadow couplings

Cited In (21)

• A construction of the left-curtain coupling
• The geometry of multi-marginal Skorokhod embedding
• A multi-marginal c-convex duality theorem for martingale optimal transport
• Fine properties of the optimal Skorokhod embedding problem
• On a problem of optimal transport under marginal martingale constraints
• Optimal martingale transport between radially symmetric marginals in general dimensions
• Monotonicity preserving transformations of MOT and SEP
• Irreducible convex paving for decomposition of multidimensional martingale transport plans
• Shadow couplings
• Robust bounds for derivative prices in Markovian models
• Connecting GANs, mean-field games, and optimal transport
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• Supermartingale shadow couplings: the decreasing case
• Monotone martingale transport plans and Skorokhod embedding
• A potential-based construction of the increasing supermartingale coupling
• Martingale Benamou-Brenier: a probabilistic perspective
• Martingale optimal transport in the discrete case via simple linear programming techniques
• The potential of the shadow measure
• Shadows and barriers
• Change of numeraire in the two-marginals martingale transport problem
• Supermartingale Brenier's theorem with full-marginals constraint

This page was built for publication: Multiperiod martingale transport

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2301489)