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arxiv: 1701.06779 · v1 · pith:CORN4USEnew · submitted 2017-01-24 · 🧮 math.PR · q-fin.MF

Monotone Martingale Transport Plans and Skorohod Embedding

classification 🧮 math.PR q-fin.MF
keywords martingalecouplingembeddinggivemonotoneadditionalallowsassuming
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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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