An injective martingale coupling

Abstract: We give an injective martingale coupling; in particular, given measures

m u

and

u

in convex order on

m a t h b b R

such that

u

is continuous, we construct a martingale coupling

p i

of the two measures with disintegration

p i (d x, d y) = p i_{x} (d y) m u (d x)

such that

for

u

almost all

y

. Equivalently we find a martingale coupling

p i

such that

p i

has disintegration

p i (d x, d y) = u (d y) d e l t a_{h e t a (y)} (d x)

for some function

h e t a

.

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