Monotone Martingale Transport Plans and Skorohod Embedding

2017/01/24 by Beiglboeck, Mathias, Henry-Labordere, Pierre, Touzi, Nizar · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)

paper · doi:10.48550/arxiv.1701.06779

Abstract

We show that the left-monotone martingale coupling is optimal for any given performance function satisfying the martingale version of the Spence-Mirrlees condition, without assuming additional structural conditions on the marginals. We also give a new interpretation of the left monotone coupling in terms of Skorokhod embedding which allows us to give a short proof of uniqueness.

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