On the monotonicity principle of optimal Skorokhod embedding problem *.

Authors
Publication date
2016
Publication type
Journal Article
Summary This is a continuation of our accompanying paper [18]. We provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established in Beiglböck , Cox and Huesmann [2]. Our proof is based on the adaptation of the Monge-Kantorovich duality in our context, a delicate application of the optional cross-section theorem, and a clever conditioning argument introduced in [2].
Publisher
Society for Industrial and Applied Mathematics
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