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The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach

We provide a complete characterisation of the Root solution to the Skorokhod embedding problem (SEP) by means of an optimal stopping formulation. Our methods are purely probabilistic and the analysis relies on a tailored time-reversal argument. This approach allows us to address the long-standing qu...

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Detalles Bibliográficos
Autores principales: Cox, Alexander M. G., Obłój, Jan, Touzi, Nizar
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2018
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6394753/
https://www.ncbi.nlm.nih.gov/pubmed/30880857
http://dx.doi.org/10.1007/s00440-018-0833-1