A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT

DOI10.1142/S0219493708002160zbMath1148.60026OpenAlexW1981167448MaRDI QIDQ3520440

Gregor Heyne, Peter Imkeller, Stefan Ankirchner

Publication date: 26 August 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493708002160

zbMATH Keywords

diffusionBrownian motionMalliavin calculusstopping timecontrol theoryquadratic growthSkorokhod embeddingBSDE

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17)

Related Items (4)

SKOROKHOD EMBEDDINGS IN BOUNDED TIME ⋮ The Skorokhod embedding problem for inhomogeneous diffusions ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs

Cites Work

• Unnamed Item
• One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
• The Skorokhod embedding problem and its offspring
• Embedding in Brownian motion with drift and the Azéma-Yor construction
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Embedding submartingales in wiener processes with drift, with applications to sequential analysis

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