Monotone Martingale Transport Plans and Skorohod Embedding

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.

SPA, to appear

References in corpus (1)

• Arbitrage and duality in nondominated discrete-time models

Cited by in corpus (5)

• Optimal martingale transport between radially symmetric marginals in general dimensions
• Monotonicity Preserving Transformations of MOT and SEP
• Optimal Brownian Stopping between radially symmetric marginals in general dimensions
• Multiperiod Martingale Transport
• Compactness Criterion for Semimartingale Laws and Semimartingale Optimal Transport