Continuity of the martingale optimal transport problem on the real line

DOI10.1214/22-AAP1928OpenAlexW2944656306MaRDI QIDQ6138920FDOQ6138920

Authors Johannes Wiesel 

Publication date 16 January 2024

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.04574

zbMATH Keywords

stabilityrobust financemartingale transportcausal transportweak adapted topology

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Financial applications of other theories (91G80) Martingales and classical analysis (60G46)

Abstract: We show continuity of the martingale optimal transport optimisation problem as a functional of its marginals. This is achieved via an estimate on the projection in the nested/causal Wasserstein distance of an arbitrary coupling on to the set of martingale couplings with the same marginals. As a corollary we obtain an independent proof of sufficiency of the monotonicity principle established in [Beiglboeck, M., & Juillet, N. (2016). On a problem of optimal transport under marginal martingale constraints. Ann. Probab., 44 (2016), no. 1, 42106] for cost functions of polynomial growth.

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