Supermartingale Brenier's theorem with full-marginals constraint
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Publication:6134136
Abstract: We explicitly construct the supermartingale version of the Fr{'e}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-Labordere et al. obtained in the martingale setting. Our construction is based on the Markovian iteration of one-period optimal supermartingale couplings. In the limit, as the number of iterations goes to infinity, we obtain a pure jump process that belongs to a family of local L{'e}vy models introduced by Carr et al. We show that the constructed processes solve the continuous-time supermartingale optimal transport problem for a particular family of path-dependent cost functions. The explicit computations are provided in the following three cases: the uniform case, the Bachelier model and the Geometric Brownian Motion case.
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