Monotone first-marginal conjecture for separable supermodular VMOT
Monotone first-marginal conjecture for separable supermodular VMOT
Let , let for , and let . A monotone coupling of is the unique monotone probability measure with marginals , denoted by . Let the cost be
for , where and are supermodular, and let a VMOT denote an optimizer for the problem referred to as VMOT. Monotone first-marginal conjecture. There exists a VMOT whose first-time marginal is the monotone coupling . Moreover, if is strictly supermodular, then every VMOT satisfies
The claim would identify the optimal first-time dependence structure in this separable-cost martingale transport problem; the supplied text does not state whether it has been proved or remains open.
Progress summary
Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.
Sources & referencesView supporting material
Primary source
Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass and Marcelo Cruz de Souza, “Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing”, arXiv:2309.04947 (2026).
Solutions 0
Sign in to submit a solution.
No solutions have been posted yet.