Optimal Brownian Stopping between radially symmetric marginals in general dimensions
Probability
2017-11-09 v1 Optimization and Control
Mathematical Finance
Abstract
Given an initial (resp., terminal) probability measure (resp., ) on , we characterize those optimal stopping times that maximize or minimize the functional , , where is Brownian motion with initial law and with final distribution --once stopped at -- equal to . The existence of such stopping times is guaranteed by Skorohod-type embeddings of probability measures in "subharmoic order" into Brownian motion. This problem is equivalent to an optimal mass transport problem with certain constraints, namely the optimal subharmonic martingale transport. Under the assumption of radial symmetry on and , we show that the optimal stopping time is a hitting time of a suitable barrier, hence is non-randomized and is unique.
Keywords
Cite
@article{arxiv.1711.02784,
title = {Optimal Brownian Stopping between radially symmetric marginals in general dimensions},
author = {Nassif Ghoussoub and Young-Heon Kim and Tongseok Lim},
journal= {arXiv preprint arXiv:1711.02784},
year = {2017}
}