Quantization and martingale couplings
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Publication:5026465
zbMATH Open1482.60026arXiv2012.10370MaRDI QIDQ5026465FDOQ5026465
Authors: Benjamin Jourdain, Gilles Pagès 
Publication date: 8 February 2022
Abstract: Quantization provides a very natural way to preserve the convex order when approximating two ordered probability measures by two finitely supported ones. Indeed, when the convex order dominating original probability measure is compactly supported, it is smaller than any of its dual quantizations while the dominated original measure is greater than any of its stationary (and therefore any of its optimal) quadratic primal quantization. Moreover, the quantization errors then correspond to martingale couplings between each original probability measure and its quantization. This permits to prove that any martingale coupling between the original probability measures can be approximated by a martingale coupling between their quantizations in Wassertein distance with a rate given by the quantization errors but also in the much finer adapted Wassertein distance. As a consequence, while the stability of (Weak) Martingale Optimal Transport problems with respect to the marginal distributions has only been established in dimension so far, their value function computed numerically for the quantized marginals converges in any dimension to the value for the original probability measures as the numbers of quantization points go to .
Full work available at URL: https://arxiv.org/abs/2012.10370
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Cited In (11)
- Convex order, quantization and monotone approximations of ARCH models
- A new family of one dimensional martingale couplings
- Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
- Canonical supermartingale couplings
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- Quantizations of probability measures and preservation of the convex order
- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
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