The geometry of multi-marginal Skorokhod embedding

DOI10.1007/S00440-019-00935-ZzbMATH Open1469.60126arXiv1705.09505OpenAlexW2964649716WikidataQ94474638 ScholiaQ94474638MaRDI QIDQ2174667FDOQ2174667

Authors: Mathias Beiglböck, Martin Huesmann, Alexander Matthew Gordon Cox 

Publication date: 21 April 2020

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: The Skorokhod Embedding Problem (SEP) is one of the classical problems in the study of stochastic processes, with applications in many different fields (cf.~ the surveys cite{Ob04,Ho11}). Many of these applications have natural multi-marginal extensions leading to the emph{(optimal) multi-marginal Skorokhod problem} (MSEP). Some of the first papers to consider this problem are cite{Ho98b, BrHoRo01b, MaYo02}. However, this turns out to be difficult using existing techniques: only recently a complete solution was be obtained in cite{CoObTo15} establishing an extension of the Root construction, while other instances are only partially answered or remain wide open. In this paper, we extend the theory developed in cite{BeCoHu14} to the multi-marginal setup which is comparable to the extension of the optimal transport problem to the multi-marginal optimal transport problem. As for the one-marginal case, this viewpoint turns out to be very powerful. In particular, we are able to show that all classical optimal embeddings have natural multi-marginal counterparts. Notably these different constructions are linked through a joint geometric structure and the classical solutions are recovered as particular cases. Moreover, our results also have consequences for the study of the martingale transport problem as well as the peacock problem.

Full work available at URL: https://arxiv.org/abs/1705.09505

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zbMATH Keywords

optimal transportSkorokhod embeddingmartingale optimal transportmultiple marginalspeacocks

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

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Cited In (19)

• Fine properties of the optimal Skorokhod embedding problem
• The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
• Some results on Skorokhod embedding and robust hedging with local time
• Optimal Skorokhod embedding under finitely many marginal constraints
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• On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals
• Martingale Benamou-Brenier: a probabilistic perspective
• Martingale optimal transport in the discrete case via simple linear programming techniques
• Shadows and barriers
• Supermartingale Brenier's theorem with full-marginals constraint

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