Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5130034 | Stochastic Processes and their Applications | 2017 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Mathias Beiglböck, Pierre Henry-Labordère, Nizar Touzi,