%0 Journal Article
%T Measurability of optimal transportation and strong coupling of martingale measures
%A Joaquin Fontbona
%A Helene Guerin
%A Sylvie Meleard
%J Mathematics
%D 2008
%I arXiv
%X We consider the optimal mass transportation problem in $\RR^d$ with measurably parameterized marginals, for general cost functions and under conditions ensuring the existence of a unique optimal transport map. We prove a joint measurability result for this map, with respect to the space variable and to the parameter. The proof needs to establish the measurability of some set-valued mappings, related to the support of the optimal transference plans, which we use to perform a suitable discrete approximation procedure. A motivation is the construction of a strong coupling between orthogonal martingale measures. By this we mean that, given a martingale measure, we construct in the same probability space a second one with specified covariance measure. This is done by pushing forward one martingale measure through a predictable version of the optimal transport map between the covariance measures. This coupling allows us to obtain quantitative estimates in terms of the Wasserstein distance between those covariance measures.
%U http://arxiv.org/abs/0809.1111v1