Monotone martingale transport plans and Skorokhod embedding

Mathias Beiglböck; Pierre Henry-Labordère; Nizar Touzi

doi:10.1016/j.spa.2017.01.004

Monotone martingale transport plans and Skorokhod embedding

Mathias Beiglböck, Pierre Henry-Labordère, Nizar Touzi

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

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.

Original language	English (US)
Pages (from-to)	3005-3013
Number of pages	9
Journal	Stochastic Processes and their Applications
Volume	127
Issue number	9
DOIs	https://doi.org/10.1016/j.spa.2017.01.004
State	Published - Sep 2017

Keywords

Martingales
Optimal transport
Skorokhod embedding

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Applied Mathematics

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10.1016/j.spa.2017.01.004

Cite this

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AU - Henry-Labordère, Pierre

AU - Touzi, Nizar

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AB - 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.

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KW - Optimal transport

KW - Skorokhod embedding

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Monotone martingale transport plans and Skorokhod embedding

Abstract

Keywords

ASJC Scopus subject areas

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