Fine properties of the optimal Skorokhod embedding problem (Q2119390)

The authors study the problem of stopping of a Brownian motion at a given distribution by the optimisation of a reward function that depends on the possibly randomised stopping time and the Brownian motion. The first result establishes the fact that the set \(\mathcal{T}(\nu)\) of stopping times embedding \(\nu\) is weakly dense in the set \(\mathcal{R}(\nu)\) of randomised embeddings. In particular, the optimal Skorokhod embedding problem over \(\mathcal{T}(\nu)\) has the same value as the relaxed one over \(\mathcal{R}(\nu)\), when the reward function is semicontinuous. The latter stays in parallel to a fundamental result about Monge maps and Kantorovich couplings in optimal transport. The second part studies the dual optimisation in the sense of linear programming. While existence of a dual solution failed in previous formulations, the authors introduce a relaxation of the dual problem that exploits a novel compactness property and yields existence of solutions as well as absence of a duality gap, even for irregular reward functions. This leads to a monotonicity principle which complements the key theorem of [\textit{M. Beiglböck} et al., Invent. Math. 208, No. 2, 327--400 (2017; Zbl 1371.60072)]. The authors also show that the obtained results can be applied for the characterisation of the geometry of optimal embeddings through a variational condition.