A free boundary characterisation of the Root barrier for Markov processes
<p>We study the existence, optimality, and construction of non-randomised stopping times that solve the Skorokhod embedding problem (SEP) for Markov processes which satisfy a duality assumption. These stopping times are hitting times of space-time subsets, so-called Root barriers. Our main res...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Springer
2021
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