Stability of supermartingale optimal transport problems
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arXiv
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| Formato: | Preprint |
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2026
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| author | Deng, Shuoqing Guo, Gaoyue Norgilas, Dominykas |
| author_facet | Deng, Shuoqing Guo, Gaoyue Norgilas, Dominykas |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_27940 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Stability of supermartingale optimal transport problems Deng, Shuoqing Guo, Gaoyue Norgilas, Dominykas Probability Mathematical Finance 60G42, 49N05 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. |
| title | Stability of supermartingale optimal transport problems |
| topic | Probability Mathematical Finance 60G42, 49N05 |
| url | https://arxiv.org/abs/2603.27940 |