Publications in Scientific Journals:
M. Beiglböck, P. Henry-Labordere, N. Touzi:
"Monotone Martingale Transport Plans and Skorokhod Embedding";
Stochastic Processes and Their Applications,
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
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Created from the Publication Database of the Vienna University of Technology.