Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints

Abstract

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 constraints1. Using the classical… (More)
DOI: 10.1137/15M1025256

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