SKOROKHOD EMBEDDINGS IN BOUNDED TIME

DOI10.1142/S0219493711003255MaRDI QIDQ3173984zbMATH OpenFDO

Authors Stefan Ankirchner, Philipp Strack

Publication date 11 October 2011

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

zbMATH Keywords

Brownian motionNash equilibriumSkorokhod embedding problemBSDE

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

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Cites work

• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
• Stochastic processes
• The Skorokhod embedding problem and its offspring

Cited in

(23)

• scientific article; zbMATH DE number 1552488 (Why is no real title available?)
• Processes that can be embedded in a geometric Brownian motion
• A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
• On Skorokhod embeddings and Poisson equations
• Embedding in Brownian motion with drift and the Azéma-Yor construction
• On independent times and positions for Brownian motions.
• Optimal stopping under model uncertainty: randomized stopping times approach
• Embedding of Walsh Brownian motion
• On the continuity of the Root barrier
• Skorokhod embeddings, minimality and non-centred target distributions
• A solution to Skorokhod's embedding for linear Brownian motion and its local time
• An explicit representation of the extended Skorokhod map with two time-dependent boundaries
• Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
• A counterexample to the Cantelli conjecture through the Skorokhod embedding problem
• Skorokhod Embedding by Randomized Hitting Times
• Skorokhod embeddings via stochastic flows on the space of Gaussian measures
• scientific article; zbMATH DE number 4044869 (Why is no real title available?)
• The Skorokhod embedding problem for inhomogeneous diffusions
• Finite, integrable and bounded time embeddings for diffusions
• Continuous time contests with private information
• An integral equation for Root's barrier and the generation of Brownian increments
• Model-independent pricing with insider information: a Skorokhod embedding approach
• Embedding laws in diffusions by functions of time

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