The Skorokhod embedding problem for inhomogeneous diffusions

DOI10.1214/19-AIHP1012zbMath1466.60082arXiv1810.05098OpenAlexW3037755240MaRDI QIDQ2227461

Gonçalo dos Reis, Alexander Fromm, Stefan Engelhardt, Stefan Ankirchner

Publication date: 15 February 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.05098

zbMATH Keywords

Brownian motionfunctional dependenceforward-backward stochastic differential equationLevy processesSkorokhod embeddingdecoupling fields

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

On the continuity of the root barrier

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