Integrability of solutions of the Skorokhod embedding problem for diffusions

DOI10.1214/EJP.V20-4121MaRDI QIDQ894139zbMATH OpenOpenAlexFDO

Authors David Hobson

Publication date 27 November 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.2214

zbMATH Keywords

Brownian motionstopping timesminimalitySkorokhod embedding problemtime-homogeneous diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Abstract: Suppose $X$ is a time-homogeneous diffusion on an interval $I^{X}subseteqmathbbR$ and let $mu$ be a probability measure on $I^X$. Then $au$ is a solution of the Skorokhod embedding problem (SEP) for $mu$ in $X$ if $au$ is a stopping time and $X_{a}usimmu$. There are well-known conditions which determine whether there exists a solution of the SEP for $mu$ in $X$. We give necessary and sufficient conditions for there to exist an integrable solution. Further, if there exists a solution of the SEP then there exists a minimal solution. We show that every minimal solution of the SEP has the same first moment. When $X$ is Brownian motion, every integrable embedding of $mu$ is minimal. However, for a general diffusion there may be integrable embeddings which are not minimal.

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Cited in

(12)

• On an explicit Skorokhod embedding for spectrally negative Lévy processes
• On Skorokhod embeddings and Poisson equations
• A Dubins type solution to the Skorokhod embedding problem
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• The Skorokhod embedding problem for inhomogeneous diffusions
• On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals
• Finite, integrable and bounded time embeddings for diffusions
• Embedding of random vectors into continuous martingales
• Skorokhod embeddings, minimality and non-centred target distributions
• An optimal Skorokhod embedding for diffusions
• Stopping with expectation constraints: 3 points suffice
• From minimal embeddings to minimal diffusions

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