The potential of the shadow measure

DOI10.1214/22-ECP457MaRDI QIDQ2113271zbMATH OpenFDO

Authors Mathias Beiglböck, David Hobson, Dominykas Norgilas

Publication date 11 March 2022

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.09936

zbMATH Keywords

optimal transportmartingalesconvex ordercouplingspeacocks

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Abstract: It is well known that given two probability measures $mu$ and $u$ on $mathbbR$ in convex order there exists a discrete-time martingale with these marginals. Several solutions are known (for example from the literature on the Skorokhod embedding problem in Brownian motion). But, if we add a requirement that the martingale should minimise the expected value of some functional of its starting and finishing positions then the problem becomes more difficult. Beiglb"{o}ck and Juillet (Ann. Probab. 44 (2016) 42-106) introduced the shadow measure which induces a family of martingale couplings, and solves the optimal martingale transport problem for a class of bivariate objective functions. In this article we extend their (existence and uniqueness) results by providing an explicit construction of the shadow measure and, as an application, give a simple proof of its associativity.

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Cited in

(9)

• Shadows and barriers
• Supermartingale Brenier's theorem with full-marginals constraint
• A construction of the left-curtain coupling
• On intermediate marginals in martingale optimal transportation
• Shadow couplings
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• Supermartingale shadow couplings: the decreasing case
• A potential-based construction of the increasing supermartingale coupling
• Stability of the shadow projection and the left-curtain coupling

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