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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2018
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| 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 |