A counterexample to the Cantelli conjecture through the Skorokhod embedding problem

DOI10.1214/14-AOP932zbMath1372.60057arXiv1202.2250OpenAlexW3104168248WikidataQ122897426 ScholiaQ122897426MaRDI QIDQ888527

Victor Kleptsyn, Aline Kurtzmann

Publication date: 30 October 2015

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.2250

zbMATH Keywords

Stefan problemSkorokhod embeddingBrownian transportCantelli conjectureGaussian variableroot barrier

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Shadows and barriers ⋮ Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs ⋮ A note on the coefficients of elliptical random variables ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem

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