Multiperiod martingale transport

DOI10.1016/J.SPA.2019.05.010MaRDI QIDQ2301489zbMATH OpenOpenAlexWikidataFDO

Authors Marcel Nutz, Florian Stebegg, Xiaowei Tan

Publication date 24 February 2020

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

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

zbMATH Keywords

optimal transportdualitymartingale coupling

Mathematics Subject Classification ID

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

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.

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