On the monotonicity principle of optimal Skorokhod embedding problem
Probability
2016-08-04 v2 Optimization and Control
Abstract
In this paper, we provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established by Beiglb\"ock, Cox and Huesmann. This principle presents a geometric characterization that reflects the desired optimality properties of Skorokhod embeddings. Our proof is based on the adaptation of the Monge-Kantorovich duality in our context together with a delicate application of the optional cross-section theorem and a clever conditioning argument.
Keywords
Cite
@article{arxiv.1506.03413,
title = {On the monotonicity principle of optimal Skorokhod embedding problem},
author = {Gaoyue Guo and Xiaolu Tan and Nizar Touzi},
journal= {arXiv preprint arXiv:1506.03413},
year = {2016}
}