Stability of martingale optimal transport and weak optimal transport
Abstract
Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans $\pi_1, \pi_2, \ldots$ converges weakly to a transport plan $\pi$, then $\pi$ is also optimal (between its marginals). Alfonsi, Corbetta and Jourdain asked whether the same property is true for the martingale transport problem. This question seems particularly pressing since martingale transport is motivated by robust finance where data is naturally noisy. On a technical level, stability in the martingale case appears more intricate than for classical transport since optimal transport plans $\pi$ are not characterized by a `monotonicity'property of their support. In this paper we give a positive answer and establish stability of the martingale transport problem. As a particular case, this recovers the stability of the left curtain coupling established by Juillet. An important auxiliary tool is an unconventional topology which takes the temporal structure of martingales into account. Our techniques also apply to the the weak transport problem introduced by Gozlan, Roberto, Samson and Tetali.
 Publication:

arXiv eprints
 Pub Date:
 April 2019
 arXiv:
 arXiv:1904.04171
 Bibcode:
 2019arXiv190404171B
 Keywords:

 Mathematics  Probability;
 Quantitative Finance  Mathematical Finance
 EPrint:
 Arguments and proofs have been significantly expanded. An appendix has been added containing technical lemmas. An example with a figure have been added for illustration