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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| Médium: | Journal article |
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Springer Berlin Heidelberg
2018
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