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Optimal martingale transport between radially symmetric marginals in general dimensions
Institution:1. Departamento de Matemàtica e Computação, Faculdade de Ciências e Tecnologia, UNESP - Universidade Estadual Paulista, Presidente Prudente, SP 19060-900, Brazil;2. Universidade Federal de Itajubá - IMC, 37500-903 Itajubá, M.G., Brazil
Abstract:We determine the optimal structure of couplings for the Martingale transport problem between radially symmetric initial and terminal laws μ,ν on Rd and show the uniqueness of optimizer. Here optimality means that such solutions will minimize the functional Ef(||XY||) where f is concave and strictly increasing, and the dimension d is arbitrary.
Keywords:Optimal transport  Martingale  Monotonicity  Radial symmetry
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