Publications in Scientific Journals:

M. Beiglböck, P. Henry-Labordere, N. Touzi:
"Monotone Martingale Transport Plans and Skorokhod Embedding";
Stochastic Processes and Their Applications, January (2017), 1 - 10.

English 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.

Optimal Transport martingales Skorokhod embedding / Subject Classification 60G42; 49N05

"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)

Electronic version of the publication:

Created from the Publication Database of the Vienna University of Technology.