On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals

DOI10.1137/18M1222594zbMath1453.60095arXiv1810.10048OpenAlexW3041517826MaRDI QIDQ5130027

Xiaolu Tan, Nizar Touzi, Alexandre Richard

Publication date: 3 November 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.10048

zbMATH Keywords

optimal stopping problemSkorokhod embedding problemRoot's solution

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items (3)

On the continuity of the root barrier ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ From Bachelier to Dupire via optimal transport

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