skorokhod embedding Recently Published Documents

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 ◽

An explicit solution to the Skorokhod embedding problem for double exponential increments

Statistics & Probability Letters ◽

10.1016/j.spl.2020.108867 ◽

2020 ◽

Vol 165 ◽

pp. 108867

Author(s):

Giang T. Nguyen ◽

Oscar Peralta

Keyword(s):

Explicit Solution ◽

Embedding Problem ◽

Skorokhod Embedding ◽

Double Exponential ◽

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 ◽

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 ◽

The geometry of multi-marginal Skorokhod Embedding

Probability Theory and Related Fields ◽

10.1007/s00440-019-00935-z ◽

2019 ◽

Vol 176 (3-4) ◽

pp. 1045-1096 ◽

Cited By ~ 3

Author(s):

Mathias Beiglböck ◽

Alexander M. G. Cox ◽

Martin Huesmann

Keyword(s):

Discretisation and duality of optimal Skorokhod embedding problems

Stochastic Processes and their Applications ◽

10.1016/j.spa.2018.07.008 ◽

2019 ◽

Vol 129 (7) ◽

pp. 2376-2405

Author(s):

Alexander M.G. Cox ◽

Sam M. Kinsley

Keyword(s):

A conformal Skorokhod embedding

Electronic Communications in Probability ◽

10.1214/19-ecp272 ◽

2019 ◽

Vol 24 (0) ◽

Author(s):

Renan Gross

Keyword(s):

From optimal stopping boundaries to Rost’s reversed barriers and the Skorokhod embedding

Annales de l Institut Henri Poincaré Probabilités et Statistiques ◽

10.1214/17-aihp833 ◽

2018 ◽

Vol 54 (2) ◽

pp. 1098-1133 ◽

Cited By ~ 2

Author(s):

Tiziano De Angelis

Keyword(s):

Optimal Stopping ◽

Some Results on Skorokhod Embedding and Robust Hedging with Local Time

Journal of Optimization Theory and Applications ◽

10.1007/s10957-017-1201-5 ◽

2017 ◽

Vol 179 (2) ◽

pp. 569-597 ◽

Cited By ~ 1

Author(s):

Julien Claisse ◽

Gaoyue Guo ◽

Pierre Henry-Labordère

Keyword(s):

Local Time ◽

Robust Hedging ◽