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

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

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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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Dettagli Bibliografici
Autori principali:	Cox, A, Obłój, J, Touzi, N
Natura:	Journal article
Pubblicazione:	Springer Berlin Heidelberg 2018

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