Optimal martingale transport between radially symmetric marginals in general dimensions |
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Affiliation: | 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 |
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Abstract: | We determine the optimal structure of couplings for the Martingale transport problem between radially symmetric initial and terminal laws on and show the uniqueness of optimizer. Here optimality means that such solutions will minimize the functional where is concave and strictly increasing, and the dimension is arbitrary. |
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Keywords: | Optimal transport Martingale Monotonicity Radial symmetry |
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