On the Monotonicity Principle of Optimal Skorokhod Embedding Problem
نویسندگان
چکیده
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].
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ورودعنوان ژورنال:
- SIAM J. Control and Optimization
دوره 54 شماره
صفحات -
تاریخ انتشار 2016