On the root solution to the skorokhod embedding problem given full marginals

Alexandre Richard; Xiaolu Tan; Nizar Touzi

doi:10.1137/18M1222594

On the root solution to the skorokhod embedding problem given full marginals

Alexandre Richard, Xiaolu Tan, Nizar Touzi

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

This paper examines the Root solution of the Skorokhod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on the finitely many marginals Root solution of Cox, Obloj, and Touzi [Probab. Theory Related Fields, 173 (2019), pp. 211-259]. Our main result provides a characterization of the corresponding potential function by means of a convenient parabolic PDE.

Original language	English (US)
Pages (from-to)	1874-1892
Number of pages	19
Journal	SIAM Journal on Control and Optimization
Volume	58
Issue number	4
DOIs	https://doi.org/10.1137/18M1222594
State	Published - 2020

Keywords

Optimal stopping problem
Root's solution
Skorokhod embedding problem

ASJC Scopus subject areas

Control and Optimization
Applied Mathematics

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10.1137/18M1222594

Cite this

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abstract = "This paper examines the Root solution of the Skorokhod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on the finitely many marginals Root solution of Cox, Obloj, and Touzi [Probab. Theory Related Fields, 173 (2019), pp. 211-259]. Our main result provides a characterization of the corresponding potential function by means of a convenient parabolic PDE.",

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AB - This paper examines the Root solution of the Skorokhod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on the finitely many marginals Root solution of Cox, Obloj, and Touzi [Probab. Theory Related Fields, 173 (2019), pp. 211-259]. Our main result provides a characterization of the corresponding potential function by means of a convenient parabolic PDE.

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On the root solution to the skorokhod embedding problem given full marginals

Abstract

Keywords

ASJC Scopus subject areas

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