Extending Chacon-Walsh: Minimality and Generalised Starting Distributions

Research output: Contribution to journalArticle

12 Citations (Scopus)

Abstract

In this paper we consider the Skorokhod embedding problem for general starting and target measures. In particular, we provide necessary and sufficient conditions for a stopping time to be minimal in the sense of Monroe. The resulting conditions have a nice interpretation in the graphical picture of Chacon and Walsh.

Further, we demonstrate how the construction of Chacon and Walsh can be extended to any (integrable) starting and target distributions, allowing the constructions of Azéma-Yor, Vallois and Jacka to be viewed in this context, and thus extended easily to general starting and target distributions. In particular, we describe in detail the extension of the Azéma-Yor embedding in this context, and show that it retains its optimality property.
Original languageEnglish
Pages (from-to)233-264
JournalSeminaire de Probabilities (Strasbourg)
VolumeXLI
DOIs
Publication statusPublished - 2008

Fingerprint Dive into the research topics of 'Extending Chacon-Walsh: Minimality and Generalised Starting Distributions'. Together they form a unique fingerprint.

  • Cite this