Minimal Root's embeddings for general starting and target distributions

DOI10.1016/J.SPA.2019.01.009MaRDI QIDQ2289795zbMATH OpenOpenAlexFDO

Authors Jiajie Wang

Publication date 24 January 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.07803

zbMATH Keywords

obstacle problemviscosity solutionSkorokhod embeddingminimal stopping timeRoot's barriermulti-marginal embedding problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: Most results regarding Skorokhod embedding problems (SEP) so far rely on the assumption that the corresponding stopped process is uniformly integrable, which is equivalent to the convex ordering condition $mathrm{U}^{mu}leqmathrm{U}^u$ when the underlying process is a local martingale. In this paper, we study the existence, construction of Root's solutions to SEP, in the absence of this convex ordering condition. We replace the uniform integrability condition by the minimality condition (Monroe,1972), as the criterion of "good" solutions. A sufficient and necessary condition (in terms of local time) for minimality is given. We also discuss the optimality of such minimal solutions. These results extend the generality of the results given by Cox and Wang [2013] and Gassiat et al. [2015]. At last, we extend all the results mentioned above to multi-marginal embedding problems based on the work of Cox et al. [2018].

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Cited in

(6)

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• The Skorokhod embedding problem for inhomogeneous diffusions
• The geometry of multi-marginal Skorokhod embedding
• On the continuity of the Root barrier
• From minimal embeddings to minimal diffusions
• Extending Chacon-Walsh: minimality and generalised starting distributions

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