On Optimal Markovian Couplings of Levy Processes

Abstract

We study the optimal Markovian coupling problem for two Pi-valued Feller processes {X_t} and {Y_t}, which seeks a coupling process {(X_t, Y_t)} that minimizes the right derivative at t = 0 of the expected cost E^{(x,y)}[c(X_t, Y_t)], for all initial states (x,y) in Pi^2 and a given cost function c on Pi. This problem was first formulated and solved by Chen (1994) for drift-diffusion processes and later extended by Zhang (2000) to Markov processes with bounded jumps. In this work, we resolve the case of Levy processes under the quadratic cost c(x,y) = 1/2 |x - y|^2 by introducing a new formulation of the "Levy optimal transport problem" between Levy measures. We show that the resulting optimal coupling process {(X_t*, Y_t*)}_{t >= 0} satisfies a minimal growth property: for each t >= 0 and x,y in R^d, the expectation E^{(x,y)}|X_t* - Y_t*|^2 is minimized among all Feller couplings. A key feature of our approach is the development of a dual problem, expressed as a variational principle over test functions of the generators. We prove strong duality for this formulation, thereby closing the optimality gap. As a byproduct, we obtain a Wasserstein-type metric on the space of Levy generators and Levy measures with finite second moment, and establish several of its fundamental properties.