Related papers: Conformal Skorokhod embeddings and related extrema…
In a recent work by Gross, the following problem was stated and solved: given a measure $\mu$ with finite second moment, find a simply connected domain $U$ in $\CC$ such that the real part of a Brownian motion stopped when it leaves $U$ is…
In this article, we consider a generalisation of the Skorokhod embedding problem (SEP) with a delayed starting time. In the delayed SEP, we look for stopping times which embed a given measure in a stochastic process, which occur after a…
The recent development of spectral method has been praised for its high-order convergence in simulating complex physical problems. The combination of embedded boundary method and spectral method becomes a mainstream way to tackle…
We study the existence, optimality, and construction of non-randomised stopping times that solve the Skorokhod embedding problem (SEP) for Markov processes which satisfy a duality assumption. These stopping times are hitting times of…
Sufficient dimension reduction (SDR) is a popular tool in regression analysis, which replaces the original predictors with a minimal set of their linear combinations. However, the estimated linear combinations generally contain all original…
The planar Skorokhod embedding problem was first proposed and solved by R. Gross in 2019 [#gross2019]. Gross worked with probability distributions having finite second moment. In [#boudabra2019remarks, #Boudabra2020], the solutions extended…
In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging of options depending on the local time by using the…
A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a LETF, finding…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
This work investigates upper bounds for the spectrum of the Steklov-type operator on Riemannian manifolds with boundary. We extend the Fraser-Schoen estimate for the first positive Steklov eigenvalue to higher Steklov eigenvalues, in terms…
We provide a new probabilistic proof of the connection between Rost's solution of the Skorokhod embedding problem and a suitable family of optimal stopping problems for Brownian motion with finite time-horizon. In particular we use…
In this work, we investigate the problem of the boundedness of the Gross' solutions of the planar Skorokhod embedding problem, where we show that the solution is bounded under some mild conditions on the underlying probability distribution.
We study the existence, uniqueness and approximation of solutions of stochastic differential equations with constraints driven by processes with bounded p-variation. Our main tool are new estimates showing Lipschitz continuity of the…
We propose an implementation of the Smooth Selection Embedding Method (SSEM) in the setting of Chebyshev polynomials. The SSEM is a hybrid fictitious domain / collocation method which solves boundary value problems in complex domains by…
We propose a stabilized Nitsche-based cut finite element formulation for the Oseen problem in which the boundary of the domain is allowed to cut through the elements of an easy-to-generate background mesh. Our formulation is based on the…
We consider the Skorokhod problem in a time-varying interval. We prove existence and uniqueness for the solution. We also express the solution in terms of an explicit formula. Moving boundaries may generate singularities when they touch. We…
Employing a limiting case of a conjecture for constructing piecewise separable-variables functions, the elements of the Pseudoanalytic Function Theory are used for numerically approaching solutions of the forward Dirichlet boundary value…
The Convex Envelope of a given function was recently characterized as the solution of a fully nonlinear Partial Differential Equation (PDE). In this article we study a modified problem: the Dirichlet problem for the underlying PDE. The main…
The NP-hard maximum-entropy sampling problem (MESP) seeks a maximum (log-)determinant principal submatrix, of a given order, from an input covariance matrix $C$. We give an efficient dynamic-programming algorithm for MESP when $C$ (or its…
We derive the optimal rate of convergence for the mean squared error at the terminal point for anticipating linear stochastic differential equations, where the integral is interpreted in Skorohod sense. Although alternative proof techniques…