Optimal transport and Skorokhod embedding (Q2356918)

The authors develop a new approach to the Skorokhod embedding problem. The approach is based on ideas and concepts from optimal mass transport. A fundamental idea in optimal transport is that the optimality of a transport plan is reflected by the geometry of its support set. In this connection, the authors establish a geometric characterization of Skorokhod embeddings with desired optimality properties. The authors' method is systematic and allows to construct optimal embeddings. Many of the previous developments in this area are thus obtained as applications of one unifying principle obtained in the paper, and several difficult related problems are rendered tractable. Moreover, the authors' methods can easily handle a number of more general versions of the problem: for example, integrable measures, general starting distributions, and \(\mathbb{R}^d\)-valued Feller processes. Their approach applies to all sufficiently regular Markov processes.