The geometry of multi-marginal Skorokhod Embedding

@article{Beiglboeck2020TheGO,
  title={The geometry of multi-marginal Skorokhod Embedding},
  author={Mathias Beiglboeck and A. Cox and M. Huesmann},
  journal={Probability Theory and Related Fields},
  year={2020},
  volume={176},
  pages={1045 - 1096}
}
  • Mathias Beiglboeck, A. Cox, M. Huesmann
  • Published 2020
  • Mathematics, Medicine, Economics
  • Probability Theory and Related Fields
  • The Skorokhod Embedding Problem is one of the classical problems in the theory of stochastic processes, with applications in many different fields [cf.  the surveys (Hobson in: Paris-Princeton lectures on mathematical finance 2010, Volume 2003 of Lecture Notes in Mathematics, Springer, Berlin, 2011 ; Obłój in: Probab Surv 1:321–390, 2004 )]. Many of these applications have natural multi-marginal extensions leading to the (optimal) multi-marginal Skorokhod problem . Some of the first papers to… CONTINUE READING

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