A Dubins type solution to the Skorokhod embedding problem

DOI10.1016/J.SPL.2012.03.006MaRDI QIDQ426682zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1210407 (Why is no real title available?)
• scientific article; zbMATH DE number 3236476 (Why is no real title available?)
• A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
• Making Markov martingales meet marginals: With explicit constructions
• On a Theorem of Skorohod
• Peacocks and associated martingales, with explicit constructions
• The Skorokhod embedding problem and its offspring
• The Skorokhod embedding problem and model-independent bounds for option prices
• The minimum maximum of a continuous martingale with given initial and terminal laws

Cited in

(6)

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

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