Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks
By Sigrid Kallblad, Xiaolu Tan, Nizar Touzi. 2015
53 citations recorded by the source corpus.
We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval $[0,1]$. The problem is related to the study of extremal martingales associated with a peacock ("process increasing in convex order", by Hirsch, Profeta, Roynette and Yor). A general duality result is obtained by convergence techniques. We then study the case where the reward function depends on the maximum of the embedding process, which is the limit of the martingale transport problem studied in Henry-Labordere, Obloj, Spoida and Touzi. Under technical conditions, some explicit characteristics of the solutions to the optimal SEP as well as to its dual problem are obtained. We also discuss the associated martingale inequality.
Subfields: Applied Mathematics, Finance, Numerical Analysis
View Paper: https://www.semanticscholar.org/paper/69aa5170f7e6022e5758ddf12847f83dbffecedf
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In Applied Mathematics
- Nizar Touzi
- Marcel Nutz
- Mathias Beiglbock
- H. D. March
- Jianfeng Zhang
- Daniel Bartl
- Julio Backhoff-Veraguas
- Thierry Champion
In Finance
- Marcel Nutz
- Nizar Touzi
- Mathias Beiglbock
- Daniel Bartl
- Bruno Bouchard
- Ariel Neufeld
- Jianfeng Zhang
- Xiaolu Tan
In Numerical Analysis
Citations in the corpus
- 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.”
- Martingale Benamou–Brenier: A probabilistic perspective (2017, unknown): “[17, 30, 49]) and the Skorokhod embedding problem [7, 35].”