Canonical Supermartingale Couplings
Abstract
Two probability distributions and in second stochastic order can be coupled by a supermartingale, and in fact by many. Is there a canonical choice? We construct and investigate two couplings which arise as optimizers for constrained Monge-Kantorovich optimal transport problems where only supermartingales are allowed as transports. Much like the Hoeffding-Fr\'echet coupling of classical transport and its symmetric counterpart, the antitone coupling, these can be characterized by order-theoretic minimality properties, as simultaneous optimal transports for certain classes of reward (or cost) functions, and through no-crossing conditions on their supports; however, our two couplings have asymmetric geometries. Remarkably, supermartingale optimal transport decomposes into classical and martingale transport in several ways.
Keywords
Cite
@article{arxiv.1609.02867,
title = {Canonical Supermartingale Couplings},
author = {Marcel Nutz and Florian Stebegg},
journal= {arXiv preprint arXiv:1609.02867},
year = {2017}
}
Comments
47 pages, 5 figures; forthcoming in 'Annals of Probability'