On the Monotonicity Principle of Optimal Skorokhod Embedding Problem

DOI10.1137/15M1025268zbMath1348.60066arXiv1506.03413OpenAlexW2963753509MaRDI QIDQ2821807

Xiaolu Tan, Gaoyue Guo, Nizar Touzi

Publication date: 23 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.03413

zbMATH Keywords

monotonicity principleoptimal Skorokhod embeddingstop-go pair

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Foundations of stochastic processes (60G05)

Related Items (19)

Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Some results on Skorokhod embedding and robust hedging with local time ⋮ Geometry of distribution-constrained optimal stopping problems ⋮ Martingale optimal transport duality ⋮ A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ PDE methods for optimal Skorokhod embeddings ⋮ Geometry of vectorial martingale optimal transportations and duality ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Constrained optimal transport ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options ⋮ Monotonicity preserving transformations of MOT and SEP ⋮ The Stefan problem and free targets of optimal Brownian martingale transport ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ A solution to the Monge transport problem for Brownian martingales ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Optimal stopping of stochastic transport minimizing submartingale costs ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints

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