Stability of martingale optimal transport and weak optimal transport

Abstract

Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans π1,π2,… converges weakly to a transport plan π, then π is also optimal (between its marginals). Alfonsi, Corbetta and Jourdain (Ann. Inst. Henri Poincaré Probab. Stat. 56 (2020) 1706–1729) asked whether the same property is true for the martingale transport problem. This question seems particularly pressing since martingale transport is motivated by robust finance where data is naturally noisy. On a technical level, stability in the martingale case appears more intricate than for classical transport since martingale optimal transport plans are not characterized by a “monotonicity”-property of their supports. In this paper we give a positive answer and establish stability of the martingale transport problem. As a particular case, this recovers the stability of the left curtain coupling established by Juillet (In Séminaire de Probabilités XLVIII (2016) 13–32 Springer). An important auxiliary tool is an unconventional topology which takes the temporal structure of martingales into account. Our techniques also apply to the the weak transport problem introduced by Gozlan, Roberto, Samson and Tetali.