Measurability of optimal transportation and strong coupling of martingale measures

DOI10.1214/ECP.V15-1534MaRDI QIDQ638185zbMATH OpenOpenAlexFDO

Authors Joaquin Fontbona, Hélène Guérin, Sylvie Méléard

Publication date 9 September 2011

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.1111, http://www.emis.de/journals/EJP-ECP/_ejpecp/ECP/viewarticlec2c3.html

zbMATH Keywords

coupling between orthogonal martingale measuresmeasurability of optimal transportpredictable transport process

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Random measures (60G57)

Abstract: We consider the optimal mass transportation problem in $R{R}^d$ with measurably parameterized marginals, for general cost functions and under conditions ensuring the existence of a unique optimal transport map. We prove a joint measurability result for this map, with respect to the space variable and to the parameter. The proof needs to establish the measurability of some set-valued mappings, related to the support of the optimal transference plans, which we use to perform a suitable discrete approximation procedure. A motivation is the construction of a strong coupling between orthogonal martingale measures. By this we mean that, given a martingale measure, we construct in the same probability space a second one with specified covariance measure. This is done by pushing forward one martingale measure through a predictable version of the optimal transport map between the covariance measures. This coupling allows us to obtain quantitative estimates in terms of the Wasserstein distance between those covariance measures.

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• Martingale Benamou-Brenier: a probabilistic perspective
• Characterization of barycenters in the Wasserstein space by averaging optimal transport maps
• Global sensitivity analysis and Wasserstein spaces
• Extended mean field control problems: stochastic maximum principle and transport perspective
• On the -Euler-Maruyama scheme for time inhomogeneous jump-driven SDEs
• On the existence of Monge maps for the Gromov-Wasserstein problem
• Stochastic gradient descent for barycenters in Wasserstein space

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