Related papers: Switching Identities by Probabilistic Means
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…
We provide a complete characterisation of the Root solution to the Skorokhod embedding problem (SEP) by means of an optimal stopping formulation. Our methods are purely probabilistic and the analysis relies on a tailored time-reversal…
The Skorokhod Embedding Problem (SEP) is one of the classical problems in the study of stochastic processes, with applications in many different fields (cf.~ the surveys \cite{Ob04,Ho11}). Many of these applications have natural…
We give a simple statistical proof of a binomial identity, by evaluating the Laplace transform of the maximum of n independent exponential random variables in two different ways. As a by product, we obtain a simple proof of an interesting…
We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This…
Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root for the model-independent hedging of variance options. Root's work shows that there exists a barrier…
The Skorokhod embedding problem is to represent a given probability as the distribution of Brownian motion at a chosen stopping time. Over the last 50 years this has become one of the important classical problems in probability theory and a…
The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod…
Based on the work of A. Vershik, we introduce two new combinatorial identities. We show how these identities can be used to prove a new hook-content identity. The main motivation for deriving this identity was a particular optimization…
Probabilistic embeddings have several advantages over deterministic embeddings as they map each data point to a distribution, which better describes the uncertainty and complexity of data. Many works focus on adjusting the distribution…
The proof identity problem asks: When are two proofs the same? The question naturally occurs when one reflects on mathematical practice. The problem understandably can be seen as a challenge for mathematical logic, and indeed various…
Most results regarding Skorokhod embedding problems (SEP) so far rely on the assumption that the corresponding stopped process is uniformly integrable, which is equivalent to the convex ordering condition…
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete problems. With…
Accurate and efficient entity resolution is an open challenge of particular relevance to intelligence organisations that collect large datasets from disparate sources with differing levels of quality and standard. Starting from a…
Identity is one of the most commonly studied constructs in social science. However, despite extensive theoretical work on identity, there remains a need for additional empirical data to validate and refine existing theories. This paper…
The conformal Skorokhod embedding problem (CSEP) is a planar variant of the classical problem where the solution is now a simply connected domain $D\subset\mathbb{C}$ whose exit time embeds a given probability distribution $\mu$ by…
We characterize the identified sets of a wide range of stochastic choice models, including random utility, various models of boundedly-rational behavior, and dynamic discrete choice. In each of these settings, we show two distributions over…
We revisit work of Rost, Dupire and Cox--Wang on connections between Root's solution of the Skorokhod embedding problem and obstacle problems. We develop an approach based on viscosity sub- and supersolutions and an accompanying comparison…
This work focuses on a class of semi-linear functional stochastic partial differential equations with Markovian switching, in which the switching component may have finite or countably infinite states. The well-posedness of the underlying…
We consider the problem of testing the identity of a reversible Markov chain against a reference from a single trajectory of observations. Employing the recently introduced notion of a lumping-congruent Markov embedding, we show that, at…