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◇ arXiv2026-09-24· math.PR

A one-sided constrained martingale transport between two uniform laws

Erhan Bayraktar, Xin Zhang

原始摘要(英文原文)· Original abstract
We minimize $\mathbb E[h(Y-X)]$ over martingale couplings of $\text{Unif}[-1,1]$ and $\text{Unif}[-2,2]$ satisfying $Y\geq X-k$, where $h\in C^1([-3,3])$ has convex derivative. Feasibility holds exactly for $k\geq1$. For each such $k$, we construct a coupling that minimizes all costs in this class. For $1<k<3$, its support consists of two graphs, with $D(x)=x-k$ on $[k-2,1]$. The maps admit an explicit parametrization for $2\leq k<3$ and are determined by scalar equations with unique admissible roots for $1<k<2$. We prove optimality by a dual inequality, using an analytic estimate in the latter range. At $k=1$ the optimizer is $Y=X\pm1$ with equal probabilities; for $k\geq3$ it is the ordinary left-curtain coupling. In the unconstrained problem, left-monotonicity identifies the left-curtain coupling, which is optimal for this cost class. Under the constraint, a discrete example shows that the corresponding support condition, even together with every two-source comparison, does not imply optimality.
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