A counterexample to the Cantelli conjecture through the Skorokhod embedding problem (Q888527): Difference between revisions

The main topic of this paper is to construct a counterexample to the Cantelli conjecture from 1918, i.e., that for every two independent real random variables \(X\), \(Y\) of standard Gaussian distribution and any measurable nonnegative function \(\varphi\) it holds that the random variable \(X+\varphi(X) \cdot Y\) also has a Gaussian distribution if and only if \(\varphi\) is constant. This is done by linking the problem to the Skorokhod embedding problem and to the Stefan-type problem in partial differential equations. A closely related problem is the Brownian transport problem and the authors show some existence results for this problem depending on the need of a bounded and continuous root function. The existence theorems cannot be proved via PDE methods. Instead, a discretization procedure is established.