An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift

DOI10.1214/EJP.V20-3758MaRDI QIDQ907967zbMATH OpenOpenAlexFDO

Authors Alexander Fromm, P. Imkeller, David J. Prömel

Publication date 2 February 2016

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.6390

zbMATH Keywords

BMO processdecoupling fieldforward backward stochastic differential equationsGaussian processesSkorokhod embedding problemvariational differentiation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Abstract: We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential Equation (FBSDE), and investigating the regularity of the obtained solution. For this purpose we extend the existence, uniqueness and regularity theory of so called decoupling fields for Markovian FBSDE to a setting in which the coefficients are only locally Lipschitz continuous.

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Cited in

(10)

• Multidimensional Markovian FBSDEs with super-quadratic growth
• Strong solutions of forward-backward stochastic differential equations with measurable coefficients
• A class of quadratic forward-backward stochastic differential equations
• The Skorokhod embedding problem for inhomogeneous diffusions
• Utility maximization via decoupling fields
• Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
• A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
• Optimal control of diffusion coefficients via decoupling fields
• Solvability of coupled FBSDEs with diagonally quadratic generators
• \(L^p\)-estimate for linear forward-backward stochastic differential equations

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