A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
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Publication:3520440
DOI10.1142/S0219493708002160zbMath1148.60026MaRDI QIDQ3520440
Peter Imkeller, Stefan Ankirchner, Gregor Heyne
Publication date: 26 August 2008
Published in: Stochastics and Dynamics (Search for Journal in Brave)
diffusion; Brownian motion; Malliavin calculus; stopping time; control theory; quadratic growth; Skorokhod embedding; BSDE
60F05: Central limit and other weak theorems
60J65: Brownian motion
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
60F17: Functional limit theorems; invariance principles
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Cites Work
- One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
- The Skorokhod embedding problem and its offspring
- Embedding in Brownian motion with drift and the Azéma-Yor construction
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Embedding submartingales in wiener processes with drift, with applications to sequential analysis
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