Optimal stopping of stochastic transport minimizing submartingale costs

Author:

Ghoussoub Nassif,Kim Young-Heon,Palmer Aaron

Abstract

Given a stochastic state process ( X t ) t (X_t)_t and a real-valued submartingale cost process ( S t ) t (S_t)_t , we characterize optimal stopping times τ \tau that minimize the expectation of S τ S_\tau while realizing given initial and target distributions μ \mu and ν \nu , i.e., X 0 μ X_0\sim \mu and X τ ν X_\tau \sim \nu . A dual optimization problem is considered and shown to be attained under suitable conditions. The optimal solution of the dual problem then provides a contact set, which characterizes the location where optimal stopping can occur. The optimal stopping time is uniquely determined as the first hitting time of this contact set provided we assume a natural structural assumption on the pair ( X t , S t ) t (X_t, S_t)_t , which generalizes the twist condition on the cost in optimal transport theory. This paper extends the Brownian motion settings studied in Ghoussoub, Kim, and Palmer [Calc. Var. Partial Differential Equations 58 (2019), Paper No. 113, 31] and Ghoussoub, Kim, and Palmer [A solution to the Monge transport problem for Brownian martingales, 2019] and deals with more general costs.

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

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