A potential-based construction of the increasing supermartingale coupling
Abstract
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) is an extreme point of the set of `supermartingale' couplings between two real probability measures in convex-decreasing order. In the present paper we provide an explicit construction of a triple of functions, on the graph of which the increasing supermartingale coupling concentrates. In particular, we show that the increasing supermartingale coupling can be identified with the left-curtain martingale coupling and the antitone coupling to the left and to the right of a uniquely determined regime-switching point, respectively. Our construction is based on the concept of the shadow measure. We show how to determine the potential of the shadow measure associated to a supermartingale, extending the recent results of Beiglb\"{o}ck et al. (The potential of the shadow measure, Electron. Commun. Probab., 27, paper no. 16, 1--12, 2022) obtained in the martingale setting.
Cite
@article{arxiv.2108.03450,
title = {A potential-based construction of the increasing supermartingale coupling},
author = {Erhan Bayraktar and Shuoqing Deng and Dominykas Norgilas},
journal= {arXiv preprint arXiv:2108.03450},
year = {2022}
}
Comments
5 figures