PDE methods for optimal Skorokhod embeddings

DOI10.1007/s00526-019-1563-7zbMath1416.49019arXiv1807.10347OpenAlexW2962745945WikidataQ127718433 ScholiaQ127718433MaRDI QIDQ2421278

Young-Heon Kim, Aaron Zeff Palmer, Nassif Ghoussoub

Publication date: 14 June 2019

Published in: Calculus of Variations and Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.10347

zbMATH Keywords

cost minimizing stopping timeHamilton-Jacobi-Bellman-type variational inequalitiesSkorokhod embedding problemsSkorokhod transport

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Duality theory (optimization) (49N15) Existence theories for problems in abstract spaces (49J27) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (6)

Fine properties of the optimal Skorokhod embedding problem ⋮ Backward and forward Wasserstein projections in stochastic order ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ A solution to the Monge transport problem for Brownian martingales ⋮ Stochastic optimal transport with free end time ⋮ Optimal stopping of stochastic transport minimizing submartingale costs

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