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 Skorohod 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 to address the long-standing questi...
| Principais autores: | , , |
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| Formato: | Journal article |
| Publicado em: |
2015
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