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Financial/Actuarial Mathematics Seminar

A Potential-based Construction of the Increasing Spermartingale Coupling
Wednesday, September 29, 2021
4:00-5:00 PM
1324 EH East Hall Map
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) 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. (The potential of the shadow measure, arXiv preprint, 2020) obtained in the martingale setting.

Joint work with Erhan Bayraktar and Shuoqing Deng. Speaker(s): Dominykas Norgilas (UM)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics