On Skorokhod embeddings and Poisson equations

DOI10.1214/18-AAP1454zbMath1466.60083arXiv1703.05673OpenAlexW3098256187WikidataQ127492808 ScholiaQ127492808MaRDI QIDQ2330463

David J. Prömel, Leif Döring, Oleg Reichmann, Lukas Gonon

Publication date: 22 October 2019

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

Full work available at URL: https://arxiv.org/abs/1703.05673

zbMATH Keywords

Fokker-Planck equationMarkov processLévy processSkorokhod embedding problemrandom time-change

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Jump processes on general state spaces (60J76)

Related Items

Inhomogeneous time change equations for Markov chains and their applications ⋮ Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations ⋮ The Skorokhod embedding problem for inhomogeneous diffusions ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ A Benamou-Brenier formulation of martingale optimal transport

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