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Monotone martingale transport plans and Skorokhod embedding

Mathias Beiglböck, Pierre Henry-Labordère and Nizar Touzi

Stochastic Processes and their Applications, 2017, vol. 127, issue 9, 3005-3013

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.

Keywords: Optimal transport; Martingales; Skorokhod embedding (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013