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Article Dans Une Revue SIAM Journal on Control and Optimization Année : 2016

Optimal Skorokhod embedding under finitely-many marginal constraints *

Résumé

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 embedding problem in Beiglböck , Cox & Huesmann [1] to the case of finitely-many marginal constraints 1. Using the classical convex duality approach together with the optimal stopping theory, we obtain the duality results which are formulated by means of probability measures on an enlarged space. We also relate these results to the problem of martingale optimal transport under multiple marginal constraints.
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Dates et versions

hal-01247004 , version 1 (20-12-2015)

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  • HAL Id : hal-01247004 , version 1

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Gaoyue Guo, Xiaolu Tan, Nizar Touzi. Optimal Skorokhod embedding under finitely-many marginal constraints *. SIAM Journal on Control and Optimization, 2016. ⟨hal-01247004⟩
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