Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks

DOI10.1214/16-AAP1191zbMath1370.60075arXiv1503.00500OpenAlexW2963578270MaRDI QIDQ2013566

Sigrid Källblad, Nizar Touzi, Xiaolu Tan

Publication date: 8 August 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.00500

zbMATH Keywords

martingale inequalitypeacocksmartingale transport problemoptimal Skorokhod embedding

Mathematics Subject Classification ID

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

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