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Maximising functionals of the joint law of the maximum and terminal value in the Skorokhod embedding problem
functionals of the joint law of the maximum terminal value Skorokhod
2011/2/22
The Skorokhod embedding problem for Brownian motion W is, given a centred probability measure , to nd a stopping time such that W . There exist many classical solutions to this problem, some o...
The Skorokhod embedding problem and its offspring
Skorokhod embedding problem Chacon-Walsh embedding Azéma-Yor embedding Root embedding stopping times
2009/5/18
This is a survey about the Skorokhod embedding problem. It presents all known solutions together with their properties and some applications. Some of the solutions are just described, while others are...