Monotone martingale transport plans and Skorokhod embedding
Pierre Henry-Labordère and
Stochastic Processes and their Applications, 2017, vol. 127, issue 9, 3005-3013
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.
Keywords: Optimal transport; Martingales; Skorokhod embedding (search for similar items in EconPapers)
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