$Instability of Martingale optimal transport in dimension d $\ge$ 2$

Instability of Martingale optimal transport in dimension d $\ge$ 2

Stability of the value function and the set of minimizers w.r.t. the given data is a desirable feature of optimal transport problems. For the classical Kantorovich transport problem, stability is satisfied under mild assumptions and in general frameworks such as the one of Polish spaces. However, fo...

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Hauptverfasser:	Brückerhoff, Martin, Juillet, Nicolas
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Schlagworte:	Mathematics - Optimization and Control Mathematics - Probability
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creator	Brückerhoff, Martin Juillet, Nicolas
description	Stability of the value function and the set of minimizers w.r.t. the given data is a desirable feature of optimal transport problems. For the classical Kantorovich transport problem, stability is satisfied under mild assumptions and in general frameworks such as the one of Polish spaces. However, for the martingale transport problem several works based on different strategies established stability results for R only. We show that the restriction to dimension d = 1 is not accidental by presenting a sequence of marginal distributions on R 2 for which the martingale optimal transport problem is neither stable w.r.t. the value nor the set of minimizers. Our construction adapts to any dimension d $\ge$ 2. For d $\ge$ 2 it also provides a contradiction to the martingale Wasserstein inequality established by Jourdain and Margheriti in d = 1.
doi_str_mv	10.48550/arxiv.2101.06964
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For the classical Kantorovich transport problem, stability is satisfied under mild assumptions and in general frameworks such as the one of Polish spaces. However, for the martingale transport problem several works based on different strategies established stability results for R only. We show that the restriction to dimension d = 1 is not accidental by presenting a sequence of marginal distributions on R 2 for which the martingale optimal transport problem is neither stable w.r.t. the value nor the set of minimizers. Our construction adapts to any dimension d $\ge$ 2. 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title	Instability of Martingale optimal transport in dimension d $\ge$ 2
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