A conformal Skorokhod embedding

DOI10.1214/19-ECP272zbMATH Open1450.60032arXiv1905.00852OpenAlexW2982985836MaRDI QIDQ2279083FDOQ2279083

Authors: Renan Gross 

Publication date: 12 December 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: Start a planar Brownian motion and let it run until it hits some given barrier. We show that the barrier may be crafted so that the x coordinate at the hitting time has any prescribed centered distribution with finite variance. This provides a new, complex-analytic proof of the Skorokhod embedding theorem. Our method is constructive and can give an explicit description of the barrier.

Full work available at URL: https://arxiv.org/abs/1905.00852

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zbMATH Keywords

Skorokhod embeddingconformal mappingStopping timesmartingales with continuous parametersdomain-free Riemann mapping

Mathematics Subject Classification ID

Power series (including lacunary series) in one complex variable (30B10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cited In (10)

• Remarks on Gross' technique for obtaining a conformal Skorohod embedding of planar Brownian motion
• A new solution to the conformal Skorokhod embedding problem and applications to the Dirichlet eigenvalue problem
• On the finiteness of moments of the exit time of planar Brownian motion from comb domains
• The Skorokhod embedding problem and its offspring
• A counterexample to the Cantelli conjecture through the Skorokhod embedding problem
• Title not available (Why is that?)
• Conformal Skorokhod embeddings and related extremal problems
• An optimal Skorokhod embedding for diffusions
• A note on invariance of the Cauchy and related distributions
• Title not available (Why is that?)

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