Skorokhod embeddings for two-sided Markov chains

DOI10.1007/s00440-015-0637-5zbMath1339.60103arXiv1407.4734OpenAlexW1793242268MaRDI QIDQ292133

István Redl, Peter Mörters

Publication date: 10 June 2016

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

Full work available at URL: https://arxiv.org/abs/1407.4734

zbMATH Keywords

Markov chainsrandom walkstopping timesstable matchingoptimal transportrandom allocationextra head schemeSkorokhod embeddingsunbiased shift

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Edge subsets with special properties (factorization, matching, partitioning, covering and packing, etc.) (05C70) Stopping times; optimal stopping problems; gambling theory (60G40)

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