Shadow couplings

DOI10.1090/TRAN/8380MaRDI QIDQ4992380zbMATH OpenOpenAlexFDO

Authors Mathias Beiglböck, Nicolas Juillet

Publication date 8 June 2021

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.03340

zbMATH Keywords

Skorokhod embeddingStrassen's theorempeacocksKellerer's theoremgeneral transport costs(martingale) optimal transport

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Abstract: A classical result of Strassen asserts that given probabilities $mu,u$ on the real line which are in convex order, there exists a emph{martingale coupling} with these marginals, i.e. a random vector $(X_1,X_2)$ such that $X_{1}simmu,X_{2}simu$ and $E[X_2|X_1]=X_1$. Remarkably, it is a non trivial problem to construct particular solutions to this problem. In this article, we introduce a family of such martingale couplings, each of which admits several characterizations in terms of optimality properties / geometry of the support set / representation through a Skorokhod embedding. As a particular element of this family we recover the (left-) curtain martingale transport, which has recently been studied cite{BeJu16, HeTo13, CaLaMa14, BeHeTo15} and which can be viewed as a martingale analogue of the classical monotone rearrangement. As another canonical element of this family we identify a martingale coupling that resembles the usual emph{product coupling} and appears as an optimizer in the general transport problem recently introduced by Gozlan et al. In addition, this coupling provides an explicit example of a Lipschitz-kernel, shedding new light on Kellerer's proof of the existence of Markov martingales with specified marginals.

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