A Dubins type solution to the Skorokhod embedding problem

DOI10.1016/J.SPL.2012.03.006zbMATH Open1245.60076OpenAlexW1977229489MaRDI QIDQ426682FDOQ426682

Authors: David M. Baker 

Publication date: 11 June 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.006

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zbMATH Keywords

Brownian motionstopping timequantizationSkorokhod embedding problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cites Work

• The Skorokhod embedding problem and model-independent bounds for option prices
• Title not available (Why is that?)
• Title not available (Why is that?)
• Making Markov martingales meet marginals: With explicit constructions
• The Skorokhod embedding problem and its offspring
• Peacocks and associated martingales, with explicit constructions
• The minimum maximum of a continuous martingale with given initial and terminal laws
• On a Theorem of Skorohod
• A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings

Cited In (6)

• Discretisation and duality of optimal Skorokhod embedding problems
• Statistical Skorohod embedding problem: optimality and asymptotic normality
• The Skorokhod embedding problem and its offspring
• Conformal Skorokhod embeddings and related extremal problems
• An optimal Skorokhod embedding for diffusions
• On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals

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