The geometry of multi-marginal Skorokhod embedding (Q2174667): Difference between revisions

The classical Skorokhod embedding problem concerns construction of a stopping time for Brownian motion at which the marginal distribution matches a specified target probability law. The multi-marginal version of the Skorokhod problem demands a finite set of ordered stopping times at each of which the Brownian motion takes a specified (marginal) law. The paper under review extends and unifies a variety of one-marginal constructions to the multi-marginal setting. From the authors' abstract: ``In particular, we are able to show that all classical optimal embeddings have natural multi-marginal counterparts. Notably these different constructions are linked through a joint geometric structure and the classical solutions are recovered as particular cases. Moreover, our results also have consequences for the study of the martingale transport problem as well as the peacock problem.''