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Monotone Martingale Transport Plans and Skorohod Embedding by Beiglboeck, Mathias; Henry-Labordere, Pierre; Touzi, Nizar is a scholarly article available to read on EtoBox.

What is Monotone Martingale Transport Plans and Skorohod Embedding about?

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.

Author

Beiglboeck, Mathias; Henry-Labordere, Pierre; Touzi, Nizar

Published

2017

Language

EN