An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift (Q907967)
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scientific article
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| English | An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift |
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An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift (English)
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2 February 2016
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forward backward stochastic differential equations
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Skorokhod embedding problem
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Gaussian processes
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BMO process
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decoupling field
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variational differentiation
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0.8451235294342041
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0.8283597230911255
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0.8240541815757751
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0.7775853872299194
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0.7699646353721619
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