A conformal Skorokhod embedding

DOI10.1214/19-ECP272MaRDI QIDQ2279083zbMATH OpenOpenAlexFDO

Authors Renan Gross

Publication date 12 December 2019

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

Full work available at URL https://arxiv.org/abs/1905.00852, https://projecteuclid.org/euclid.ecp/1573095647

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)

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.

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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
• scientific article; zbMATH DE number 1394839 (Why is no real title available?)
• Conformal Skorokhod embeddings and related extremal problems
• An optimal Skorokhod embedding for diffusions
• A note on invariance of the Cauchy and related distributions
• scientific article; zbMATH DE number 4052698 (Why is no real title available?)

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