Fine properties of the optimal Skorokhod embedding problem

Journal of the European Mathematical Society ◽

10.4171/jems/1122 ◽

2021 ◽

Author(s):

Mathias Beiglböck ◽

Marcel Nutz ◽

Florian Stebegg

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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A new solution to the conformal Skorokhod embedding problem and applications to the Dirichlet eigenvalue problem

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2020.124351 ◽

2020 ◽

Vol 491 (2) ◽

pp. 124351

Author(s):

Maher Boudabra ◽

Greg Markowsky

Keyword(s):

Eigenvalue Problem ◽

Embedding Problem ◽

Dirichlet Eigenvalue ◽

Skorokhod Embedding ◽

Dirichlet Eigenvalue Problem ◽

Skorokhod Embedding Problem

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An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes

Stochastic Processes and their Applications ◽

10.1016/j.spa.2006.08.005 ◽

2007 ◽

Vol 117 (4) ◽

pp. 409-431 ◽

Author(s):

Jan Obłój

Keyword(s):

Markov Processes ◽

Explicit Solution ◽

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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A Dubins type solution to the Skorokhod embedding problem

Statistics & Probability Letters ◽

10.1016/j.spl.2012.03.006 ◽

2012 ◽

Vol 82 (6) ◽

pp. 1054-1058

Author(s):

David M. Baker

Keyword(s):

Embedding Problem ◽

Type Solution ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift

Electronic Journal of Probability ◽

10.1214/ejp.v20-3758 ◽

2015 ◽

Vol 20 (0) ◽

Author(s):

Alexander Fromm ◽

Peter Imkeller ◽

David Prömel

Keyword(s):

Gaussian Processes ◽

Embedding Problem ◽

Linear Drift ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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A counterexample to the Cantelli conjecture through the Skorokhod embedding problem

The Annals of Probability ◽

10.1214/14-aop932 ◽

2015 ◽

Vol 43 (5) ◽

pp. 2250-2281 ◽

Author(s):

Victor Kleptsyn ◽

Aline Kurtzmann

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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The Skorokhod embedding problem and its offspring

Probability Surveys ◽

10.1214/154957804100000060 ◽

2004 ◽

Vol 1 (0) ◽

pp. 321-392 ◽

Author(s):

Jan Obłój

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps

The Annals of Applied Probability ◽

10.1214/12-aap893 ◽

2013 ◽

Vol 23 (5) ◽

pp. 2020-2052 ◽

Author(s):

David Hobson ◽

Martin Klimmek

Keyword(s):

Embedding Problem ◽

Variance Swaps ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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On the Monotonicity Principle of Optimal Skorokhod Embedding Problem

SIAM Journal on Control and Optimization ◽

10.1137/15m1025268 ◽

2016 ◽

Vol 54 (5) ◽

pp. 2478-2489 ◽

Author(s):

Gaoyue Guo ◽

Xiaolu Tan ◽

Nizar Touzi

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem ◽

Monotonicity Principle

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The Skorokhod embedding problem for inhomogeneous diffusions

Annales de l Institut Henri Poincaré Probabilités et Statistiques ◽

10.1214/19-aihp1012 ◽

2020 ◽

Vol 56 (3) ◽

pp. 1606-1640

Author(s):

Stefan Ankirchner ◽

Stefan Engelhardt ◽

Alexander Fromm ◽

Gonçalo dos Reis

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals

SIAM Journal on Control and Optimization ◽

10.1137/18m1222594 ◽

2020 ◽

Vol 58 (4) ◽

pp. 1874-1892

Author(s):

Alexandre Richard ◽

Xiaolu Tan ◽

Nizar Touzi

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

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