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

DOI10.1214/EJP.V20-3758zbMATH Open1332.60081arXiv1408.6390OpenAlexW2963105097MaRDI QIDQ907967FDOQ907967

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

Publication date: 2 February 2016

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

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.

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

Recommendations

• A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
• The Skorokhod embedding problem for inhomogeneous diffusions
• A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
• An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
• PDE methods for optimal Skorokhod embeddings

zbMATH Keywords

Gaussian processesSkorokhod embedding problemdecoupling fieldforward backward stochastic differential equationsBMO processvariational differentiation

Mathematics Subject Classification ID

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

Cited In (10)

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

This page was built for publication: An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q907967)