We show that the left-monotone martingale coupling is optimal for any given performance function satisfying the martingale version of the Spence-Mirrlees condition, without assuming additional structural conditions on the marginals. We also give a new interpretation of the left monotone coupling in terms of Skorokhod e…
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2 results for “Left-monotone”
Optimal transport with scalar martingales defined over multiple periods.
problem Finding optimal transport plans with specific properties over multiple time periods.
method Introducing left-monotone transports and characterizing them through various properties.
result Left-monotone transports are unique under certain conditions and have specific order properties.