Related papers: A note on the planar Skorokhod embedding problem
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…
It has been shown by Indyk and Sidiropoulos [IS07] that any graph of genus g>0 can be stochastically embedded into a distribution over planar graphs with distortion 2^O(g). This bound was later improved to O(g^2) by Borradaile, Lee and…
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…
The embedding problem for Markov chains is a famous problem in probability theory and only partial results are available up till now. In this paper, we propose a variant of the embedding problem called the reversible embedding problem which…
The deterministic Skorohod problem plays an important role in the construction and analysis of diffusion processes with reflection. In the form studied here, the multidimensional Skorohod problem was introduced, in time-independent domains,…
Given a L\'evy process $L$, we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time $T$ based on i.i.d. sample from $L_{T}.$ Our approach is based on the genuine use of…
In this paper, we provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established by Beiglb\"ock, Cox and Huesmann. This principle presents a geometric characterization that reflects the…
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…
We consider point sets in the real projective plane $\mathbb{R}P^2$ and explore variants of classical extremal problems about planar point sets in this setting, with a main focus on Erd\H{o}s--Szekeres-type problems. We provide…
We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval $[0,1]$. The problem is related to the study of extremal martingales associated with a peacock ("process increasing in convex order", by…
Planarity Testing is the problem of determining whether a given graph is planar while planar embedding is the corresponding construction problem. The bounded space complexity of these problems has been determined to be exactly Logspace by…
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…
In this article we present a modified S-iteration process that we combine with inertial extrapolation to find a common solution to the split monotone inclusion problem and the fixed point problem in real Hilbert space.Our goal is to…
This note is purely expository. We show how in the course of the Kolmogorov-Arnold solution of Hilbert's 13-th problem on superpositions there appeared the notion of a basic embedding. A subset K of R^2 is {\it basic} if for each continuous…
This note is purely expository. In the course of the Kolmogorov-Arnold solution of Hilbert's 13th problem on superpositions there appeared the notion of basic embedding. A subset K of R^2 is basic if for each continuous function f:K->R…
The interaction of a thin rigid inclusion with a finite crack is studied. Two plane problems of elasticity are considered. The first one concerns the case when the upper side of the inclusion is completely debonded from the matrix, and the…
We show how to reduce the problem of symplectically embedding one 4-dimensional rational ellipsoid into another to a problem of embedding disjoint unions of balls into appropriate blow ups of \C P^2. For example, the problem of embedding…
In his beautiful paper [1], Ben Andrews obtained the complete classification of the solutions of the planar isotropic $L_p$ Minkowski problem. In this paper, by generalizing Ben Andrews's result we obtain the complete classification of the…
Characterizing whether a Markov process of discrete random variables has an homogeneous continuous-time realization is a hard problem. In practice, this problem reduces to deciding when a given Markov matrix can be written as the…
We present a new construction of a Skorohod embedding, namely, given a probability measure mu with zero expectation and finite variance, we construct an integrable stopping time T adapted to a filtration F_t, such that W_t has the law mu,…