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On the Root solution to the Skorokhod embedding problem given full marginals

Richard, Alexandre; Tan, Xiaolu; Touzi, Nizar (2018), On the Root solution to the Skorokhod embedding problem given full marginals. https://basepub.dauphine.fr/handle/123456789/18488

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Type
Document de travail / Working paper
External document link
https://hal.archives-ouvertes.fr/hal-01902839
Date
2018
Series title
Cahier de recherche CEREMADE, Université Paris-Dauphine
Pages
16
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Author(s)
Richard, Alexandre cc
Fédération de Mathématiques de l'Ecole Centrale Paris [FR3487]
Mathématiques et Informatique pour la Complexité et les Systèmes [MICS]
Tan, Xiaolu
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Touzi, Nizar
Centre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
Abstract (EN)
This paper examines the Root solution of the Skorohod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on finitely-many marginals Root solution of Cox, Oblój, and Touzi. Our main result provides a characterization of the corresponding potential function by means of a convenient parabolic PDE.
Subjects / Keywords
Root solution; PDE