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29 March 2024 |
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The Skorokhod Embedding Problem and its offspring | Jan Obloj
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12 Dec 2003 | Subject: | Probability; History and Overview MSC-class: 60G40; 60G44; 60J25; 60J45; 60J65 | math.PR math.HO | Abstract: | This is a survey about the Skorokhod embedding problem. It presents all known solutions together with their properties and some applications. Some of the solutions are just described, while others are studied in detail and their proofs are presented. Unified methodology, based on real potential theory, is developed. Some new facts which appeared in a natural way when different solutions were cross-examined, are reported. Azema and Yor’s and Root’s solutions are studied extensively. A possible use of the latter is suggested together with a conjecture. The study starts with a methodology discussion and then continues with a description of particular solutions. Among applications, the link with the optimal stopping theory is underlined. | Source: | arXiv, math.PR/0401114 | Services: | Forum | Review | PDF | Favorites |
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