A potential-based construction of the increasing supermartingale coupling

Supermartingale shadow couplings: the decreasing case

For two measures $μ$ and $ν$ that are in convex-decreasing order, Nutz and Stebegg (Canonical supermartingale couplings, Ann. Probab., 46(6):3351--3398, 2018) studied the optimal transport problem with supermartingale constraints and introduced two canonical couplings, namely the increasing and decreasing transport plans, that are optimal for a large class of cost functions. In the present paper we provide an explicit construction of the decreasing coupling $π^D$ by establishing a Brenier-type result: (a generalised version of) $π^D$ concentrates on the graphs of two functions. Our constructio…

Canonical Supermartingale Couplings

Two probability distributions $μ$ and $ν$ in second stochastic order can be coupled by a supermartingale, and in fact by many. Is there a canonical choice? We construct and investigate two couplings which arise as optimizers for constrained Monge-Kantorovich optimal transport problems where only supermartingales are allowed as transports. Much like the Hoeffding-Fréchet coupling of classical transport and its symmetric counterpart, the antitone coupling, these can be characterized by order-theoretic minimality properties, as simultaneous optimal transports for certain classes of reward (or cos…

Supermartingale Brenier's Theorem with full-marginals constraint

We explicitly construct the supermartingale version of the Fr{é}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-Labordere et al. obtained in the martingale setting. Our construction is based on the Markovian iteration of one-period optimal supermartingale couplings. In the limit, as the number of iterations goes to infinity, we obtain a pure jump process that belongs to a family of local L{é}vy models introduced by Carr et al. We show that the constructed processes solve the continuous-time supermartingale optimal transport pr…

Ville不等式向单调下界与阈值的推广

A Generalisation of Ville's Inequality to Monotonic Lower Bounds and Thresholds

该研究将经典Ville不等式的常数下界与阈值推广为单调曲线，给出保持在递减下界曲线上方的上鞅超过递增阈值曲线的概率紧界，并据此推导出有限时间版本重对数律。

Increasing coupling of probabilistic cellular automata

We give a necessary and sufficient condition for the existence of an increasing coupling of $N$ ($N \geq 2$) synchronous dynamics on $S^{\mathbb Z^d}$(PCA). Increasing means the coupling preserves stochastic ordering. We first present our main construction theorem in the case where $S$ is totally ordered, applications to attractive PCA's are given. When $S$ is only partially ordered, we show on two examples that a coupling of more than two synchronous dynamics may not exist. We also prove an extension of our main result for a particular class of partially ordered spaces.

A new family of one dimensional martingale couplings

In this paper, we exhibit a new family of martingale couplings between two one-dimensional probability measures $μ$ and $ν$ in the convex order. This family is parametrised by two dimensional probability measures on the unit square with respective marginal densities proportional to the positive and negative parts of the difference between the quantile functions of $μ$ and $ν$. It contains the inverse transform martingale coupling which is explicit in terms of the associated cumulative distribution functions. The integral of $\vert x-y\vert$ with respect to each of these couplings is smaller th…