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.
Keywords:
Optimal Transport martingales Skorokhod embedding / Subject Classification 60G42; 49N05
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.1016/j.spa.2017.01.004
Electronic version of the publication:
http://www.sciencedirect.com/science/article/pii/S0304414917300078?via%3Dihub
Created from the Publication Database of the Vienna University of Technology.