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On the monotonicity principle of optimal Skorokhod embedding problem

Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar (2016), On the monotonicity principle of optimal Skorokhod embedding problem, SIAM Journal on Control and Optimization, 54, 5, p. 2478–2489. 10.1137/15M1025268

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Type
Article accepté pour publication ou publié
Date
2016
Journal name
SIAM Journal on Control and Optimization
Volume
54
Number
5
Pages
2478–2489
Publication identifier
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Author(s)
Guo, Gaoyue
Tan, Xiaolu
Touzi, Nizar
Abstract (EN)
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].
Subjects / Keywords
Optimal Skorokhod embedding; monotonicity principle