Stability of the shadow projection and the left-curtain coupling

DOI10.1214/15-AIHP700MaRDI QIDQ503094zbMATH OpenOpenAlexFDO

Authors Nicolas Juillet

Publication date 11 January 2017

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/1407.8009

zbMATH Keywords

convex ordercouplingsmartingalesoptimal transportshadow projection

Mathematics Subject Classification ID

Spaces of measures, convergence of measures (28A33) Variational problems in a geometric measure-theoretic setting (49Q20) Convergence of probability measures (60B10) Martingales with discrete parameter (60G42)

Abstract: The (left-)curtain coupling, introduced by Beiglb"ock and the author is an extreme element of the set of "martingale" couplings between two real probability measures in convex order. It enjoys remarkable properties with respect to order relations and a minimisation problem inspired by the theory of optimal transport. An explicit representation and a number of further noteworthy attributes have recently been established by Henry-Labord`ere and Touzi. In the present paper we prove that the curtain coupling depends continuously on the prescribed marginals and quantify this with Lipschitz estimates. Moreover, we investigate the Markov composition of curtain couplings as a way of associating Markovian martingales with peacocks.

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Cited in

(26)

• Canonical supermartingale couplings
• Martingales associated to peacocks using the curtain coupling
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• A construction of the left-curtain coupling
• The potential of the shadow measure
• 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
• Sampling of probability measures in the convex order by Wasserstein projection
• On the stability of the martingale optimal transport problem: a set-valued map approach
• Martingale optimal transport in the discrete case via simple linear programming techniques
• Computational methods for martingale optimal transport problems
• Multiperiod martingale transport
• The left-curtain martingale coupling in the presence of atoms
• Shadow couplings
• Consistent upper price bounds for exotic options
• A new class of costs for optimal transport planning
• Peacocks parametrised by a partially ordered set
• Lipschitz continuity of the Wasserstein projections in the convex order on the line
• Shadows and barriers
• Continuity of the martingale optimal transport problem on the real line
• On intermediate marginals in martingale optimal transportation
• Supermartingale shadow couplings: the decreasing case
• Backward and forward Wasserstein projections in stochastic order
• A potential-based construction of the increasing supermartingale coupling
• The football model, stochastic ordering and martingale transport

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