Martingale Transports and Monge Maps

arXiv2209.14432MaRDI QIDQ6412296FDOQ6412296

Ruodu Wang, Zhenyuan Zhang, Marcel Nutz

Publication date: 28 September 2022

Abstract: It is well known that martingale transport plans between marginals $muequ$ are never given by Monge maps -- with the understanding that the map is over the first marginal $mu$, or forward in time. Here, we change the perspective, with surprising results. We show that any distributions $mu,u$ in convex order with $u$ atomless admit a martingale coupling given by a Monge map over the second marginal $u$. Namely, we construct a particular coupling called the barcode transport. Much more generally, we prove that such ``backward Monge martingale transports are dense in the set of all martingale couplings, paralleling the classical denseness result for Monge transports in the Kantorovich formulation of optimal transport. Various properties and applications are presented, including a refined version of Strassen's theorem and a mimicking theorem where the marginals of a given martingale are reproduced by a ``backward deterministic martingale, a remarkable type of process whose current state encodes its whole history.

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Linear optimal control problems (49N05)

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