Shadows and barriers

DOI10.1214/23-AAP1981MaRDI QIDQ6126791zbMATH OpenOpenAlexFDO

Authors Martin Brückerhoff, Martin Huesmann

Publication date 10 April 2024

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.03620

zbMATH Keywords

interpolationmartingale optimal transportpotential theoryshadowsSkorokhod embedding

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with discrete parameter (60G42) Probabilistic potential theory (60J45)

Abstract: We show an intimate connection between solutions of the Skorokhod Embedding Problem which are given as the first hitting time of a barrier and the concept of shadows in martingale optimal transport. More precisely, we show that a solution $au$ to the Skorokhod Embedding Problem between $mu$ and $u$ is of the form $au=inftgeq0:(X_t,B_t)inmathcalR$ for some increasing process $(X_t{)}_{tgeq0}$ and a barrier $mathcalR$ if and only if there exists a time-change $(T_l{)}_{lgeq0}$ such that for all $lgeq0$ the equation ${\displaystyle }$mathbb{P}[B_{ au} in cdot , au geq T_l] = mathcal{S}^{ u}(mathbb{P}[B_{T_l} in cdot , au geq T_l])${\displaystyle }$ is satisfied, i.e. the distribution of $B_{au}$ on the event that the Brownian motion is stopped after $T_l$ is the shadow of the distribution of $B_{T_l}$ on this event in the terminal distribution $u$. This equivalence allows us to construct new families of barrier solutions that naturally interpolate between two given barrier solutions. We exemplify this by an interpolation between the Root embedding and the left-monotone embedding.

Recommendations

• The potential of the shadow measure
• Shadow couplings
• On the continuity of the Root barrier
• Optimal transport and Skorokhod embedding
• A free boundary characterisation of the root barrier for Markov processes

Cites work

• A construction of the left-curtain coupling
• A counterexample to the Cantelli conjecture through the Skorokhod embedding problem
• A free boundary characterisation of the root barrier for Markov processes
• A new proof of Kellerer's theorem
• A solution to the Monge transport problem for Brownian martingales
• A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
• Gradient flows in metric spaces and in the space of probability measures
• scientific article; zbMATH DE number 3644254 (Why is no real title available?)
• scientific article; zbMATH DE number 3808667 (Why is no real title available?)
• scientific article; zbMATH DE number 3530736 (Why is no real title available?)
• scientific article; zbMATH DE number 3236476 (Why is no real title available?)
• scientific article; zbMATH DE number 3272022 (Why is no real title available?)
• Model-independent bounds for option prices -- a mass transport approach
• Monotone martingale transport plans and Skorokhod embedding
• Multiperiod martingale transport
• On a problem of optimal transport under marginal martingale constraints
• Optimal transport and Skorokhod embedding
• Robust bounds for the American put
• Robust hedging of the lookback option
• Root's barrier: construction, optimality and applications to variance options
• Shadow couplings
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• Stability of martingale optimal transport and weak optimal transport
• Stability of the shadow projection and the left-curtain coupling
• The Existence of Certain Stopping Times on Brownian Motion
• The geometry of multi-marginal Skorokhod embedding
• The potential of the shadow measure
• The Skorokhod embedding problem and its offspring
• The Skorokhod embedding problem and model-independent bounds for option prices
• The stopping distributions of a Markov process

This page was built for publication: Shadows and barriers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6126791)