We are interested in martingale rearrangement couplings. As introduced by Wiesel in order to prove the stability of Martingale Optimal Transport problems, these are projections in adapted Wasserstein distance of couplings between two probability measures on the real line in the convex order onto the set of martingale couplings between these two marginals. In reason of the lack of relative compactness of the set of couplings with given marginals for the adapted Wasserstein topology, the existence of such a projection is not clear at all. Under a barycentre dispersion assumption on the original coupling which is in particular satisfied by the Hoeffding-Frechet or comonotone coupling, Wiesel gives a clear algorithmic construction of a martingale rearrangement when the marginals are finitely supported and then gets rid of the finite support assumption by relying on a rather messy limiting procedure to overcome the lack of relative compactness. Here, we give a direct general construction of a martingale rearrangement coupling under the barycentre dispersion assumption. This martingale rearrangement is obtained from the original coupling by an approach similar to the construction we gave in Jourdain and Margheriti [Electr. J. Probab. (2020)] of the inverse transform martingale coupling, a member of a family of martingale couplings close to the Hoeffding-Fréchet coupling, but for a slightly different injection in the set of extended couplings introduced by Beiglböck and Juillet and which involve the uniform distribution on [0,1] in addition to the two marginals. We last discuss the stability in adapted Wassertein distance of the inverse transform martingale coupling with respect to the marginal distributions.
Keywords: Martingale couplings, Martingale Optimal Transport, Adapted Wasserstein distance, Robust finance, Convex order
@article{PS_2022__26_1_495_0,
author = {Jourdain, B. and Margheriti, W.},
title = {One {Dimensional} {Martingale} {Rearrangement} {Couplings}},
journal = {ESAIM: Probability and Statistics},
pages = {495--527},
year = {2022},
publisher = {EDP-Sciences},
volume = {26},
doi = {10.1051/ps/2022012},
mrnumber = {4525181},
zbl = {1528.60034},
language = {en},
url = {https://www.numdam.org/articles/10.1051/ps/2022012/}
}
TY - JOUR AU - Jourdain, B. AU - Margheriti, W. TI - One Dimensional Martingale Rearrangement Couplings JO - ESAIM: Probability and Statistics PY - 2022 SP - 495 EP - 527 VL - 26 PB - EDP-Sciences UR - https://www.numdam.org/articles/10.1051/ps/2022012/ DO - 10.1051/ps/2022012 LA - en ID - PS_2022__26_1_495_0 ER -
Jourdain, B.; Margheriti, W. One Dimensional Martingale Rearrangement Couplings. ESAIM: Probability and Statistics, Tome 26 (2022), pp. 495-527. doi: 10.1051/ps/2022012
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This research benefited from the support of the “Chaire Risques Financiers”, Fondation du Risque
