Minimal Root's embeddings for general starting and target distributions

DOI10.1016/j.spa.2019.01.009zbMath1471.60058arXiv1601.07803OpenAlexW2291284399MaRDI QIDQ2289795

Jiajie Wang

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.07803

zbMATH Keywords

viscosity solutionobstacle problemSkorokhod embeddingminimal stopping timeRoot's barriermulti-marginal embedding problem

Mathematics Subject Classification ID

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

Cites Work

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