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 Electronic Communications in Probability > Vol. 15(2010) > Paper 13 open journal systems 


Measurability of optimal transportation and strong coupling of martingale measures

Joaquin Fontbona, Universidad de Chile
Hélène Guérin, Université Rennes 1
Sylvie Méléard, École Polytechnique


Abstract
We consider the optimal mass transportation problem in $RR^d$ with measurably parameterized marginals under conditions ensuring the existence of a unique optimal transport map. We prove a joint measurability result for this map, with respect to the space variable and to the parameter. The proof needs to establish the measurability of some set-valued mappings, related to the support of the optimal transference plans, which we use to perform a suitable discrete approximation procedure. A motivation is the construction of a strong coupling between orthogonal martingale measures. By this we mean that, given a martingale measure, we construct in the same probability space a second one with a specified covariance measure process. This is done by pushing forward the first martingale measure through a predictable version of the optimal transport map between the covariance measures. This coupling allows us to obtain quantitative estimates in terms of the Wasserstein distance between those covariance measures.


Full text: PDF

Pages: 124-133

Published on: April 26, 2010
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Electronic Communications in Probability. ISSN: 1083-589X