Stopping times on Brownian motion: Some properties of root's construction
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Publication:5588941
DOI10.1007/BF00534597zbMath0193.45701MaRDI QIDQ5588941
Publication date: 1970
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
Related Items (23)
Fine properties of the optimal Skorokhod embedding problem ⋮ Geometry of distribution-constrained optimal stopping problems ⋮ Representing a distribution by stopping a Brownian Motion: Root's construction ⋮ On the continuity of the root barrier ⋮ Monotone martingale transport plans and Skorokhod embedding ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ A counterexample to the Cantelli conjecture through the Skorokhod embedding problem ⋮ Embedding laws in diffusions by functions of time ⋮ Root's barrier: construction, optimality and applications to variance options ⋮ A convergence property of Dubins' representation of distributions ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Monotonicity preserving transformations of MOT and SEP ⋮ The Two-Sided Stefan Problem with a Spatially Dependent Latent Heat ⋮ Using Additive Functionals to Embed Preassigned Distributions in Symmetric Stable Processes ⋮ Embedding of Walsh Brownian motion ⋮ Minimal Root's embeddings for general starting and target distributions ⋮ Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs ⋮ Shadow couplings ⋮ On the embedding of processes in Brownian motion and the law of the iterated logarithm for reverse martingales ⋮ An integral equation for Root's barrier and the generation of Brownian increments ⋮ Optimal transport and Skorokhod embedding
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