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Zeitschriftenartikel:

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



Kurzfassung englisch:
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.

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


"Offizielle" elektronische Version der Publikation (entsprechend ihrem Digital Object Identifier - DOI)
http://dx.doi.org/10.1016/j.spa.2017.01.004

Elektronische Version der Publikation:
http://www.sciencedirect.com/science/article/pii/S0304414917300078?via%3Dihub


Erstellt aus der Publikationsdatenbank der Technischen Universitšt Wien.