Continuity of the martingale optimal transport problem on the real line

DOI10.1214/22-AAP1928arXiv1905.04574OpenAlexW2944656306MaRDI QIDQ6138920FDOQ6138920

Authors: Johannes Wiesel 

Publication date: 16 January 2024

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

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.

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)

Cites Work

• Measure theory. Vol. I and II
• Optimal Transport
• A distance for multistage stochastic optimization models
• Version-independence and nested distributions in multistage stochastic optimization
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Multidimensional diffusion processes.
• Model-independent bounds for option prices -- a mass transport approach
• The proof of Tchakaloff’s Theorem
• The Existence of Probability Measures with Given Marginals
• On a problem of optimal transport under marginal martingale constraints
• Robust price bounds for the forward starting straddle
• Stability of the shadow projection and the left-curtain coupling
• Complete duality for martingale optimal transport on the line
• Kantorovich duality for general transport costs and applications
• Fundamental properties of process distances
• Causal Transport in Discrete Time and Applications
• Causal transport plans and their Monge–Kantorovich problems
• Adapted Wasserstein distances and stability in mathematical finance
• A new family of one dimensional martingale couplings
• Stability of martingale optimal transport and weak optimal transport
• Computational methods for martingale optimal transport problems
• Sampling of probability measures in the convex order by Wasserstein projection
• A land of monotone plenty
• All adapted topologies are equal

This page was built for publication: Continuity of the martingale optimal transport problem on the real line

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6138920)