On the monotonicity principle of optimal Skorokhod embedding problem *
Résumé
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]Origine | Fichiers produits par l'(les) auteur(s) |
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