The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach

DOI10.1007/S00440-018-0833-1zbMath1478.60133arXiv1505.03169OpenAlexW2963824632WikidataQ92426014 ScholiaQ92426014MaRDI QIDQ1729695

Nizar Touzi, Jan Obłój, Alexander Matthew Gordon Cox

Publication date: 28 February 2019

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.03169

zbMATH Keywords

Skorokhod embedding problemmartingale diffusions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (13)

Fine properties of the optimal Skorokhod embedding problem ⋮ On the continuity of the root barrier ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Weak transport for non‐convex costs and model‐independence in a fixed‐income market ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Geometry of vectorial martingale optimal transportations and duality ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Discretionary stopping of stochastic differential equations with generalised drift ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ Minimal Root's embeddings for general starting and target distributions ⋮ Model-independent pricing with insider information: a skorokhod embedding approach

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