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arXiv · 1506.03413

On the monotonicity principle of optimal Skorokhod embedding problem

Gaoyue Guo·Xiaolu Tan·Nizar Touzi
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Abstract

In this paper, we provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established by Beiglb\"ock, Cox and Huesmann. This principle presents a geometric characterization that reflects the desired optimality properties of Skorokhod embeddings. Our proof is based on the adaptation of the Monge-Kantorovich duality in our context together with a delicate application of the optional cross-section theorem and a clever conditioning argument.

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Gaoyue Guo, Xiaolu Tan, Nizar Touzi. 2015-06-08. On the monotonicity principle of optimal Skorokhod embedding problem. https://arxiv.org/abs/1506.03413

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