On the Root solution to the Skorokhod embedding problem given full marginals
Optimization and Control
2019-12-18 v2
Abstract
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, Obl\'oj and Touzi. Our main result provides a characterization of the corresponding potential function by means of a convenient parabolic PDE.
Cite
@article{arxiv.1810.10048,
title = {On the Root solution to the Skorokhod embedding problem given full marginals},
author = {Alexandre Richard and Xiaolu Tan and Nizar Touzi},
journal= {arXiv preprint arXiv:1810.10048},
year = {2019}
}