The Skorokhod embedding problem and its offspring
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Publication:980734
DOI10.1214/154957804100000060zbMath1189.60088arXivmath/0401114OpenAlexW4290688657MaRDI QIDQ980734
Publication date: 29 June 2010
Published in: Probability Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0401114
optimal stoppingstopping timesSkorokhod embedding problemAzéma-Yor embeddingChacon-Walsh embeddingone-dimensional potential theoryroot embedding
Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Probabilistic potential theory (60J45) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
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