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- W3190586464 abstract "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 Beiglbock et al. (The potential of the shadow measure, arXiv preprint, 2020) obtained in the martingale setting." @default.
- W3190586464 created "2021-08-16" @default.
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- W3190586464 date "2021-08-07" @default.
- W3190586464 modified "2023-09-27" @default.
- W3190586464 title "A potential-based construction of the increasing supermartingale coupling" @default.
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