The Skorokhod embedding problem for inhomogeneous diffusions (Q2227461)

In this paper, the Skorokhod embedding problem (SEP) for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form \(dA_t = \mu(t,A_t ) dt + \sigma(t,A_t ) dW_t\) is solved. The authors establish sufficient conditions on \(\mu\), \(\sigma\) and \(\nu\) guaranteeing the existence of a stopping time \(\tau\) and a real number \(a\) such that the solution of the SDE, in a weak or strong sense, with initial condition \(A_0 = a\) satisfies \(A_\tau\sim \nu\). The cases where \((A_t )\) is a solution of the SDE in a weak or strong sense are distinguished. The construction of embedding stopping times is based on a solution of a fully coupled forward-backward SDE. The so-called method of decoupling fields (see [\textit{J. Ma} et al., Stochastic Processes Appl. 122, No. 12, 3980--4004 (2012; Zbl 1260.60123); \textit{A. Fromm}, Theory and applications of decoupling fields for forward-backward stochastic differential equations. Berlin: Humboldt-Universität (PhD Thesis) (2015)]) for verifying that the forward-backward stochastic differential equation (FBSDE) has a unique solution is applied. An algorithm for putting the theoretical construction into practice and illustrate it with a numerical experiment is described.