Monotone first-marginal conjecture for separable supermodular VMOT

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Let d2d \ge 2, let μicνi\mu_i \preceq_c \nu_i for i=1,,di=1,\ldots,d, and let μ=(μ1,,μd)\vec\mu=(\mu_1,\ldots,\mu_d). A monotone coupling of μ\vec\mu is the unique monotone probability measure with marginals μ1,,μd\mu_1,\ldots,\mu_d, denoted by χμ\chi_{\vec\mu}. Let the cost be

c(x,y)=c1(x)+c2(y),c(x,y)=c_1(x)+c_2(y),

for x,yRdx,y\in\mathbb{R}^d, where c1c_1 and c2c_2 are supermodular, and let a VMOT denote an optimizer for the problem referred to as VMOT. Monotone first-marginal conjecture. There exists a VMOT π\pi whose first-time marginal πX\pi^X is the monotone coupling χμ\chi_{\vec\mu}. Moreover, if c1c_1 is strictly supermodular, then every VMOT π\pi satisfies

πX=χμ.\pi^X=\chi_{\vec\mu}.

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.

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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).

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