Backward martingale transport maps in pseudo-Euclidean spaces

arXiv2304.08290MaRDI QIDQ6433355FDOQ6433355

Authors: Dmitry Kramkov, Mihai Sîrbu 

Publication date: 17 April 2023

Abstract: We consider an optimal transport problem with backward martingale constraint. The objective function is given by the scalar product of a pseudo-Euclidean space $S$. We show that the supremum over maps equals the supremum over plans provided that the law $u$ of the input random variable $Y$ is atomless. An optimal map $X$ exists if $u$ does not charge any $c-c$ surface (the graph of a difference of convex functions) with strictly positive normal vectors in the sense of the $S$-space. The optimal map $X$ is unique if, in addition, $u$ does not charge $c-c$ surfaces with positive and nearly isotropic normal vectors in the $S$-space. In the latter case, the joint law of $(X,Y)$ is the unique optimal backward martingale plan.

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