On the monotonicity principle of optimal Skorokhod embedding problem *

Gaoyue Guo (1) , Xiaolu Tan (2) , Nizar Touzi (3)

1 CASIA - The Institute of Automation of the Chinese Academy of Sciences
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
3 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

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].

Domaines: Probabilités [math.PR]

Gaoyue Guo, Xiaolu Tan, Nizar Touzi. On the monotonicity principle of optimal Skorokhod embedding problem *. SIAM Journal on Control and Optimization, 2016. ⟨hal-01247003⟩