An iterated Azéma-Yor type embedding for finitely many marginals

DOI10.1214/16-AOP1110zbMath1380.60048arXiv1304.0368OpenAlexW2962765839MaRDI QIDQ2406561

Peter Spoida, Jan Obłój

Publication date: 5 October 2017

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

Full work available at URL: https://arxiv.org/abs/1304.0368

zbMATH Keywords

continuous martingalemaximum processSkorokhod embedding problemmartingale optimal transportmarginal constraintsAzéma-Yor embedding

Mathematics Subject Classification ID

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

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