An injective martingale coupling
Probability
2025-03-17 v2
Abstract
We give an injective martingale coupling; in particular, given measures and in convex order on such that is continuous, we construct a martingale transport such that for each in the support of the target law there is a {\em unique} in {a support of} the initial law such that (some of) the mass at is transported to . Then has disintegration for some function . More precisely we construct a martingale coupling of the measures and such that there is a set such that and a disintegration of of the form such that, with a support of , we have for all and . Moreover, if is continuous we may take for each . However, we cannot also insist that .
Keywords
Cite
@article{arxiv.2303.01578,
title = {An injective martingale coupling},
author = {David Hobson and Dominykas Norgilas},
journal= {arXiv preprint arXiv:2303.01578},
year = {2025}
}
Comments
55 pages, 6 figures