Skorokhod embeddings via stochastic flows on the space of Gaussian measures

DOI10.1214/15-AIHP682zbMATH Open1350.60039OpenAlexW2502070174MaRDI QIDQ330701FDOQ330701

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

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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)

Cited In (10)

• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
• Controlled measure-valued martingales: a viscosity solution approach
• 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
• Title not available (Why is that?)
• Eldan's stochastic localization and tubular neighborhoods of complex-analytic sets

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