English

Canonical Supermartingale Couplings

Probability 2017-11-28 v2 Optimization and Control Mathematical Finance

Abstract

Two probability distributions μ\mu and ν\nu 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'

R2 v1 2026-06-22T15:45:11.939Z