# Stability of martingale optimal transport and weak optimal transport

## TL;DR

This paper proves the stability of the martingale optimal transport problem under weak convergence, extending classical transport stability results to the martingale setting and related weak transport problems.

## Contribution

It establishes the first general stability result for martingale optimal transport, addressing a key open question and introducing a topology that accounts for martingale temporal structure.

## Key findings

- Stability of martingale transport plans under weak convergence.
- Recovery of stability for the left curtain coupling.
- Applicability of techniques to weak transport problems.

## Abstract

Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans $\pi_1, \pi_2, \ldots$ converges weakly to a transport plan $\pi$, then $\pi$ is also optimal (between its marginals). Alfonsi, Corbetta and Jourdain 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 optimal transport plans $\pi$ are not characterized by a `monotonicity'-property of their support. 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. 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.