A Dubins type solution to the Skorokhod embedding problem

DOI10.1016/j.spl.2012.03.006zbMath1245.60076OpenAlexW1977229489MaRDI QIDQ426682

David M. Baker

Publication date: 11 June 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.006

zbMATH Keywords

Brownian motionstopping timequantizationSkorokhod embedding problem

Mathematics Subject Classification ID

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

Cites Work

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• Peacocks and associated martingales, with explicit constructions
• Making Markov martingales meet marginals: With explicit constructions
• A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
• The Skorokhod embedding problem and its offspring
• The minimum maximum of a continuous martingale with given initial and terminal laws
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• On a Theorem of Skorohod

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