Monotone Martingale Transport Plans and Skorohod Embedding
Probability
2017-01-25 v1 Mathematical Finance
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
Cite
@article{arxiv.1701.06779,
title = {Monotone Martingale Transport Plans and Skorohod Embedding},
author = {Mathias Beiglboeck and Pierre Henry-Labordere and Nizar Touzi},
journal= {arXiv preprint arXiv:1701.06779},
year = {2017}
}
Comments
SPA, to appear