Non-decreasing martingale couplings

arXiv2305.00565MaRDI QIDQ6434841FDOQ6434841

Authors: Benjamin Jourdain, Kexin Shao 

Publication date: 30 April 2023

Abstract: For many examples of couples $(mu,u)$ of probability measures on the real line in the convex order, we observe numerically that the Hobson and Neuberger martingale coupling, which maximizes for $ho=1$ the integral of $|y-x{|}^{h}o$ with respect to any martingale coupling between $mu$ and $u$, is still a maximizer for $hoin(0,2)$ and a minimizer for $ho>2$. We investigate the theoretical validity of this numerical observation and give rather restrictive sufficient conditions for the property to hold. We also exhibit couples $(mu,u)$ such that it does not hold. The support of the Hobson and Neuberger coupling is known to satisfy some monotonicity property which we call non-decreasing. We check that the non-decreasing property is preserved for maximizers when $hoin(0,1]$. In general, there exist distinct non-decreasing martingale couplings, and we find some decomposition of $u$ which is in one-to-one correspondence with martingale couplings non-decreasing in a generalized sense.

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