Stretched Brownian Motion: convergence of dual optimising sequences

Abstract

We consider an irreducible pair $\mu \leq_c \nu$ of probability measures on $\mathbb{R}^d$ in convex order. In arXiv:2306.11019, Backhoff, Beiglb\"ock, Schachermayer and Tschiderer have shown that the Stretched Brownian Motion from $\mu$ to $\nu$ is a Bass martingale, that there exists a dual optimiser $\psi_{lim}$, and the following somewhat surprising convergence result: by adding affine functions, one can make any dual optimising sequence $(\psi_n)_n$ (satisfying some minor technical conditions) converge pointwise to $\psi_{lim}$, save possibly on the relative boundary of the convex hull of the support of $\nu$. In the present paper we deal with the more delicate issue of convergence on said boundary, showing in particular that $\psi_{lim}$ is $\nu$ a.s. finite, and $(\psi_n)_n$ converges to $\psi_{lim}$ in $\nu$-measure.