An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
<p style="text-align:justify;"> We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential Equation (FBSD...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2016
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