Monotone Martingale Transport Plans and Skorohod Embedding

Mathias Beiglboeck, Pierre Henry-Labordere and Nizar Touzi

Papers from arXiv.org

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.

Date: 2017-01
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