Change of numeraire for weak martingale transport

Mathias Beiglb\"ock, Gudmund Pammer and Lorenz Riess

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Abstract: Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Campi-Laachir-Martini extend to the case of weak martingale transport. We apply this to shadow couplings, continuous time martingale transport problems in the framework of Huesmann-Trevisan and in particular to establish the correspondence between stretched Brownian motion with its geometric counterpart. Note: We emphasize that we learned about the geometric stretched Brownian motion gSBM (defined in PDE terms) in a presentation of Loeper \cite{Lo23} before our work on this topic started. We noticed that a change of numeraire transformation in the spirit of \cite{CaLaMa14} allows for an alternative viewpoint in the weak optimal transport framework. We make our work public following the publication of Backhoff-Loeper-Obloj's work \cite{BaLoOb24} on arxiv.org. The article \cite{BaLoOb24} derives gSBM using PDE techniques as well as through an independent probabilistic approach which is close to the one we give in the present article.

Date: 2024-06
New Economics Papers: this item is included in nep-mac
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