Abstract
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Ann. Probab. 46 (2018) 3351–3398) is an extreme point of the set of “supermartingale” couplings between two real probability measures in convex-decreasing order. In the present paper we provide an explicit construction of a triple of functions, on the graph of which the increasing supermartingale coupling concentrates. In particular, we show that the increasing supermartingale coupling can be identified with the left-curtain martingale coupling and the antitone coupling to the left and to the right of a uniquely determined regime-switching point, respectively.
Our construction is based on the concept of the shadow measure. We show how to determine the potential of the shadow measure associated to a supermartingale, extending the recent results of Beiglböck et al. (Electron. Commun. Probab. 27 (2022) 1–12) obtained in the martingale setting.
Funding Statement
E. Bayraktar was supported by NSF Grant DMS-2106556 and by the Susan M. Smith chair.
Acknowledgements
The authors would like to thank the anonymous referees for their constructive comments that improved the quality of this paper.
Citation
Erhan Bayraktar. Shuoqing Deng. Dominykas Norgilas. "A potential-based construction of the increasing supermartingale coupling." Ann. Appl. Probab. 33 (5) 3803 - 3834, October 2023. https://doi.org/10.1214/22-AAP1907
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