Generalizing Super/Sub MOT using weak $L^1$ transport

TL;DR

This paper characterizes optimal couplings in weak optimal transport on the real line, introduces a constrained transport problem generalizing martingale transport, and connects it to a generalized shadow measure.

Contribution

It provides a new characterization of optimal couplings in weak L^1 transport and extends martingale transport concepts via a generalized shadow measure.

Findings

Optimal couplings couple tails with submartingales and supermartingales, central with martingales.

The constrained problem generalizes existing martingale transport problems.

A generalized shadow measure is introduced and linked to weak optimal transport.

Abstract

In this article we revisit the weak optimal transport (WOT) problem, introduced by Gozlan, Roberto, Samson and Tetali (2017). We work on the real line, with barycentric cost functions, and as our first result give the following characterization of the set of optimal couplings for two probability measures $\mu$ and $\nu$: every optimizer couples the left tails of $\mu$ and $\nu$ using a submartingale, the right tails using a supermartingale, while the central region is coupled using a martingale. We then consider a constrained optimal transport problem, where admissible transport plans are only those that are optimal for the WOT problem with $L^1$ costs. The constrained problem generalizes the (sub/super-) martingale optimal transport problems, studied by Beiglb\"ock and Juillet (2016), and Nutz and Stebegg (2018) among others. Finally, we introduce a generalized \textit{shadow measure} and establish its connection to the WOT. This extends and generalizes the results obtained in (sub/super-) martingale settings.