Statistical Skorohod embedding problem: Optimality and asymptotic normality

@inproceedings{Belomestny2015StatisticalSE,
  title={Statistical Skorohod embedding problem: Optimality and asymptotic normality},
  author={Denis Belomestny and J. G. Schoenmakers},
  year={2015}
}
Given a Brownian motion B, 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 BT. We propose a consistent estimator for the density of T, derive its convergence rates and prove their optimality. 

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