Skorokhod embeddings, minimality and non-centred target distributions

DOI10.1007/s00440-005-0467-yzbMath1099.60031arXivmath/0310403OpenAlexW2593328633MaRDI QIDQ2494406

David G. Hobson, Alexander Matthew Gordon Cox

Publication date: 26 June 2006

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0310403

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (21)

Integral equations for Rost's reversed barriers: existence and uniqueness results ⋮ An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ Weak decreasing stochastic order ⋮ Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps ⋮ Embedding laws in diffusions by functions of time ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Integrated quantile functions: properties and applications ⋮ Unbiased shifts of Brownian motion ⋮ Robust pricing and hedging of double no-touch options ⋮ The Joint Law of a Max-Continuous Local Submartingale and Its Maximum ⋮ An optimal Skorokhod embedding for diffusions ⋮ Embedding of Walsh Brownian motion ⋮ Minimal Root's embeddings for general starting and target distributions ⋮ Mean residual life processes and associated submartingales ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ Minimal embeddings of integrable processes in a Brownian motion ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale ⋮ Finite, integrable and bounded time embeddings for diffusions ⋮ Optimal transport and Skorokhod embedding

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