Monotone martingale transport plans and Skorokhod embedding
By M. Beiglboeck, Pierre Henry-Labordère, Nizar Touzi. 2017
53 citations recorded by the source corpus.
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.
Subfields: Finance, Mathematical Physics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/4ce231c29b81e6f626c40060476cf9dc1ae8fed4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Marcel Nutz
- Nizar Touzi
- Mathias Beiglbock
- Nassif Ghoussoub
- Young-Heon Kim
- Tongseok Lim
- Daniel Bartl
- Bruno Bouchard
In Mathematical Physics
- Nizar Touzi
- Marcel Nutz
- Mathias Beiglbock
- Nassif Ghoussoub
- Young-Heon Kim
- Jianfeng Zhang
- H. D. March
In Statistics and Probability
- Nizar Touzi
- Mathias Beiglbock
- Marcel Nutz
- Young-Heon Kim
- Daniel Bartl
- Xiaolu Tan
- H. D. March
- Nicole El Karoui
Citations in the corpus
- Structure of optimal martingale transport plans in general dimensions (2015, background): “See for example Hobson [18], Beiglböck-Cox-Huesmann [6] and Beiglböck-Henry-Labordere-Touzi [4].”
- Complete Duality for Martingale Optimal Transport on the Line (2015, background): “, [1, 8, 12, 13, 14, 19, 33] for models in discrete time and [6, 10, 15, 17, 18, 21, 22, 29, 31, 32, 35, 37] for continuous-time models.”