Optimal Skorokhod embedding under finitely-many marginal constraints
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar (2016), Optimal Skorokhod embedding under finitely-many marginal constraints, SIAM Journal on Control and Optimization, 54, 4, p. 2174–2201. 10.1137/15M1025256
TypeArticle accepté pour publication ou publié
Journal nameSIAM Journal on Control and Optimization
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Abstract (EN)The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod embedding problem in Beiglböck , Cox & Huesmann  to the case of finitely-many marginal constraints 1. Using the classical convex duality approach together with the optimal stopping theory, we obtain the duality results which are formulated by means of probability measures on an enlarged space. We also relate these results to the problem of martingale optimal transport under multiple marginal constraints.
Subjects / KeywordsSkorokhod embedding; martingale optimal transport; model-free pricing; robust hedging
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