Structure of optimal martingale transport plans in general dimensions

Nassif Ghoussoub, Young-Heon Kim, Tongseok Lim

Given two probability measures $\mu$ and $\nu$ in "convex order" on ${\mathbb{R}}^d$, we study the profile of one-step martingale plans $\pi$ on ${\mathbb{R}}^d\times {\mathbb{R}}^d$ that optimize the expected value…