SKOROKHOD EMBEDDINGS IN BOUNDED TIME

DOI10.1142/S0219493711003255zbMath1241.60021MaRDI QIDQ3173984

Philipp Strack, Stefan Ankirchner

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

Brownian motion; Nash equilibrium; Skorokhod embedding problem; BSDE

Mathematics Subject Classification ID

60J65: Brownian motion

60G40: Stopping times; optimal stopping problems; gambling theory

91A60: Probabilistic games; gambling

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Cites Work

• Unnamed Item
• The Skorokhod embedding problem and its offspring
• A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
• Stochastic Processes