skorokhod embedding problem Latest Research Papers

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

Download Full-text

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

Download Full-text

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 ◽

Skorokhod Embedding Problem

Download Full-text

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

Download Full-text

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

Download Full-text

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 ◽

Cited By ~ 7

Author(s):

Gaoyue Guo ◽

Xiaolu Tan ◽

Nizar Touzi

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem ◽

Monotonicity Principle

Download Full-text

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 ◽

Cited By ~ 1

Author(s):

Victor Kleptsyn ◽

Aline Kurtzmann

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

Download Full-text

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) ◽

Cited By ~ 2

Author(s):

Alexander Fromm ◽

Peter Imkeller ◽

David Prömel

Keyword(s):

Gaussian Processes ◽

Embedding Problem ◽

Linear Drift ◽

Skorokhod Embedding ◽

Non Linear ◽

Skorokhod Embedding Problem

Download Full-text

Integrability of solutions of the Skorokhod embedding problem for diffusions

Electronic Journal of Probability ◽

10.1214/ejp.v20-4121 ◽

2015 ◽

Vol 20 (0) ◽

Author(s):

David Hobson

Keyword(s):

Embedding Problem ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

Download Full-text

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 ◽

Cited By ~ 3

Author(s):

David Hobson ◽

Martin Klimmek

Keyword(s):

Embedding Problem ◽

Variance Swaps ◽

Skorokhod Embedding ◽

Skorokhod Embedding Problem

Download Full-text

skorokhod embedding problem
Recently Published Documents

TOTAL DOCUMENTS

H-INDEX

Fine properties of the optimal Skorokhod embedding problem

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

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

The Skorokhod embedding problem for inhomogeneous diffusions

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

On the Monotonicity Principle of Optimal Skorokhod Embedding Problem

A counterexample to the Cantelli conjecture through the Skorokhod embedding problem

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

Integrability of solutions of the Skorokhod embedding problem for diffusions

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

Export Citation Format

skorokhod embedding problemRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

Fine properties of the optimal Skorokhod embedding problem

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

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

The Skorokhod embedding problem for inhomogeneous diffusions

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

On the Monotonicity Principle of Optimal Skorokhod Embedding Problem

A counterexample to the Cantelli conjecture through the Skorokhod embedding problem

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

Integrability of solutions of the Skorokhod embedding problem for diffusions

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

skorokhod embedding problem
Recently Published Documents