Causal transport in discrete time and applications

Abstract: Loosely speaking, causal transport plans are a relaxation of adapted processes in the same sense as Kantorovich transport plans extend Monge-type transport maps. The corresponding causal version of the transport problem has recently been introduced by Lassalle. Working in a discrete time setup, we establish a dynamic programming principle that links the causal transport problem to the transport problem for general costs recently considered by Gozlan et al. Based on this recursive principle, we give conditions under which the celebrated Knothe-Rosenblatt rearrangement can be viewed as a causal analogue to the Brenier's map. Moreover, these considerations provide transport-information inequalities for the nested distance between stochastic processes pioneered by Pflug and Pichler, and so serve to gauge the discrepancy between stochastic programs driven by different noise distributions.