TY - JOUR
T1 - On the monotonicity principle of optimal Skorokhod embedding problem
AU - Guo, Gaoyue
AU - Tan, Xiaolu
AU - Touzi, Nizar
N1 - Publisher Copyright:
© 2016 Society for Industrial and Applied Mathematics.
PY - 2016
Y1 - 2016
N2 - This is a continuation of our accompanying paper [SIAM J. Control Optim., 54 (2016), pp. 2174-2201] We provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established in [Beiglböck, Cox, and Huesmann, Optimal Transport and Skorokhod Embedding, preprint, 2013]. Our proof is based on the adaptation of the Monge-Kantorovich duality in our context, a delicate application of the optional cross-section theorem, and a clever conditioning argument introduced in [Beiglböck, Cox, and Huesmann, Optimal Transport and Skorokhod Embedding, preprint, 2013].
AB - This is a continuation of our accompanying paper [SIAM J. Control Optim., 54 (2016), pp. 2174-2201] We provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established in [Beiglböck, Cox, and Huesmann, Optimal Transport and Skorokhod Embedding, preprint, 2013]. Our proof is based on the adaptation of the Monge-Kantorovich duality in our context, a delicate application of the optional cross-section theorem, and a clever conditioning argument introduced in [Beiglböck, Cox, and Huesmann, Optimal Transport and Skorokhod Embedding, preprint, 2013].
KW - Monotonicity principle
KW - Optimal Skorokhod embedding
KW - Stop-go pair
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U2 - 10.1137/15M1025268
DO - 10.1137/15M1025268
M3 - Article
AN - SCOPUS:84992643558
SN - 0363-0129
VL - 54
SP - 2478
EP - 2489
JO - SIAM Journal on Control and Optimization
JF - SIAM Journal on Control and Optimization
IS - 5
ER -