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We show that the barrier function in Root's solution to the Skorokhod embedding problem is continuous and finite at every point where the target measure has no atom and its absolutely continuous part is locally bounded away from zero.

Let $(X,{\mathcal A},\mu)$ be a probability space and let $S\colon X\to X$ be a measurable transformation. Motivated by the paper of K. Nikodem [Czechoslovak Math. J. 41(116) (4) (1991) 565--569], we concentrate on a functional equation…

In this paper we investigate the functional equation \[ \varphi \left( \frac{x+y}{2} \right) \left( \psi_1(x) - \psi_2(y) \right) = 0 \hspace{20mm} \left( \mbox{ for all } x \in I_1 \mbox{ and } y \in I_2 \right) \] where $ I_1 \,, I_2 $…

The Skorokhod Embedding problem is well understood when the underlying process is a Brownian motion. We examine the problem when the underlying is the simple symmetric random walk and when no external randomisation is allowed. We prove that…

This is a substantially generalized version of the preprint arXiv:1105.4214 by Lifshits and Tyurin. We prove that for any pair of i.i.d. random vectors $X, Y$ in $R^n$ and any real-valued continuous negative definite function $g: R^n\to R$…

We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…

We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential…

Let the metric space $\mathbb R^n \setminus \sim$ be the metric space of $n$-sized unordered tuples of real numbers. In the following, it will be shown that if a function $\varphi: \mathbb R^m \to \mathbb R^n \setminus \sim$ is continuous,…

We study the problem of stopping a Brownian motion at a given distribution $\nu$ while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set…

Let $X$ be a real locally uniformly convex Banach space and $X^*$ be the dual space of $X$. Let $\varphi:\mathbf R_+\to \mathbf R_+$ be a strictly increasing and continuous function such that $\varphi(0) = 0$, $\varphi(r) \to \infty$ as…

Start a planar Brownian motion and let it run until it hits some given barrier. We show that the barrier may be crafted so that the x coordinate at the hitting time has any prescribed centered distribution with finite variance. This…

We study the problem of the existence of increasing and continuous solutions $\varphi\colon[0,1]\to[0,1]$ such that $\varphi(0)=0$ and $\varphi(1)=1$ of the functional equation \begin{equation*}…

We derive a nonlinear integral equation to calculate Root's solution of the Skorokhod embedding problem for atom-free target measures. We then use this to efficiently generate bounded time-space increments of Brownian motion and give a…

We establish that the boundaries of the so-called Rost's reversed barrier are the unique couple of left-continuous monotonic functions solving a suitable system of nonlinear integral equations of Volterra type. Our result holds for…

Let $L$ be a second order uniformly elliptic differential operator in a domain $D$ of $\mathbb{R}^{d}$, $\psi:\mathbb{R}_+\to \mathbb{R}_+$ be a nondecreasing continuous function and let $\xi,g:D\to\mathbb{R}_+$ be locally bounded Borel…

Let $[a,b]\subset\mathbb{R}$ be a non empty and non singleton closed interval and $P=\{a=x_0<\cdots<x_n=b\}$ is a partition of it. Then $f:I\to\mathbb{R}$ is said to be a function of $r$-bounded variation, if the expression…

A Newton--Kantorovich-type argument enables the a posteriori existence verification of a unique regular root near a computed approximation, purely from computable data. This framework allows for non-selfadjoint problems and extends the…

Given a family $(\mu_\lambda,\lambda\geq0)$ of integrable mean-zero probability measures such that, for every $\lambda\geq0$, $\mu_\lambda$ is the image of $\mu_1$ under the homothety $y\longmapsto\sqrt{\lambda}y$, we provide a necessary…

Consider the Skorokhod problem in the closed non-negative orthant: find a solution $(g(t),m(t))$ to \[ g(t)= f(t)+ Rm(t),\] where $f$ is a given continuous vector-valued function with $f(0)$ in the orthant, $R$ is a given $d\times d$ matrix…

The objective of this work is to prove, in a first step, the existence and the uniqueness of a solution of the following multivalued deterministic differential equation: $dx(t)+\partial ^-\varphi (x(t))(dt)\ni dm(t),\ t>0$, $x(0)=x_0$,…