English

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 μ\mu (resp., ν\nu) on Rd\mathbb{R}^d, we characterize those optimal stopping times τ\tau that maximize or minimize the functional EB0Bτα\mathbb{E} |B_0 - B_\tau|^{\alpha}, α>0\alpha > 0, where (Bt)t(B_t)_t is Brownian motion with initial law B0μB_0\sim \mu and with final distribution --once stopped at τ\tau-- equal to BτνB_\tau\sim \nu. 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 μ\mu and ν\nu, 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}
}