Stability of supermartingale optimal transport problems

Abstract

We investigate stability properties of weak supermartingale optimal transport (WSOT) problems on $\mathbb{R}$. For probability measures $μ,ν\in\mathcal{P}_r$ satisfying $μ\leq_{cd} ν$ (equivalently, $Π_S(μ,ν)\neq\emptyset$), we consider supermartingale couplings $π=μ(d x)π_x(d y)$ and the weak transport functional \[ V_S^C(μ,ν) := \inf_{π\inΠ_S(μ,ν)} \int_\mathbb{R} C(x,π_x)\,μ(d x), \] for some appropriate cost function $C:\mathbb{R}\times\mathcal{P}_r\to\mathbb{R}$. Our first main contribution is an approximation result in adapted Wasserstein distance: under $W_r$-convergence of marginals $(μ^k,ν^k)\to(μ,ν)$ with $μ^k\leq_{cd} ν^k$, any $π\inΠ_S(μ,ν)$ can be approximated by $π^k\inΠ_S(μ^k,ν^k)$ such that $A\mathcal{W}_r(π^k,π)\to0$. As a consequence, we obtain the continuity of the functional $(μ,ν) \mapsto V_S^C(μ,ν)$, and the monotonicity principle for WSOT.

Theorems & Definitions (37)

• Lemma 1.1
• Theorem 1.2: Strassen-type feasibility
• Theorem 2.1: Approximation of supermartingale couplings
• Remark 2.2: Context and novelty
• Theorem 2.3
• proof
• Definition 2.4: Supermartingale $C$-monotonicity.
• Remark 2.5
• Theorem 2.6
• proof