Skorokhod embeddings via stochastic flows on the space of Gaussian measures

DOI10.1214/15-AIHP682MaRDI QIDQ330701zbMATH OpenOpenAlexFDO

Authors Ronen Eldan

Publication date 26 October 2016

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aihp/1469723520

zbMATH Keywords

Markov processBrownian motionstopping timeSkorokhod embeddinglog concave measure

Mathematics Subject Classification ID

Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integral equations (60H20)

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Cited in

(12)

• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
• Controlled measure-valued martingales: a viscosity solution approach
• Skorokhod embeddings for two-sided Markov chains
• The Azéma-Yor embedding in non-singular diffusions.
• Embedding of random vectors into continuous martingales
• Taming correlations through entropy-efficient measure decompositions with applications to mean-field approximation
• A two-sided estimate for the Gaussian noise stability deficit
• The CLT in high dimensions: quantitative bounds via martingale embedding
• Decomposition of mean-field Gibbs distributions into product measures
• scientific article; zbMATH DE number 1394839 (Why is no real title available?)
• Eldan's stochastic localization and tubular neighborhoods of complex-analytic sets
• Two explicit Skorokhod embeddings for simple symmetric random walk

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