Information-Based Martingale Optimal Transport
Information-Based Martingale Optimal Transport (IB-MOT) combines optimal transport with stochastic filtering. Given probability measures in convex order, it selects the optimal coupling used to construct the associated filtered arcade martingale that interpolates in-between the prescribed marginal distributions subject to incomplete information. Although the optimization problem is static, its solution generates a corresponding dynamic interpolation. Existence and uniqueness of the optimal coupling are established, and a computational algorithm is provided for empirical measures. The IB-MOT framework may be interpreted as introducing a signal processing mechanism into martingale optimal transport.

