Optimal Skorokhod embedding under finitely-many marginal constraints

Gaoyue Guo (), Xiaolu Tan () and Nizar Touzi
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Gaoyue Guo: CASIA - The Institute of Automation of the Chinese Academy of Sciences - CAS - Chinese Academy of Sciences [Beijing]
Xiaolu Tan: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Nizar Touzi: CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Abstract: The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod embedding problem in Beiglböck , Cox & Huesmann [1] to the case of finitely-many marginal constraints 1. Using the classical convex duality approach together with the optimal stopping theory, we obtain the duality results which are formulated by means of probability measures on an enlarged space. We also relate these results to the problem of martingale optimal transport under multiple marginal constraints.

Keywords: Skorokhod embedding; martingale optimal transport; model-free pricing; robust hedging (search for similar items in EconPapers)
Date: 2016-12-01
Note: View the original document on HAL open archive server: https://hal.science/hal-01247004v1
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Published in SIAM Journal on Control and Optimization, 2016, 54 (4), pp.15M1025256. ⟨10.1137/15M1025256⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01247004

DOI: 10.1137/15M1025256

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