Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem

Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann, Sigrid Källblad

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Abstract

In this paper we consider (probability-)measure valued processes, which we call MVMs, which have a natural martingale structure. Following previous work of Eldan and Cox-K\"allblad, these processes are known to have a close connection to the solutions to the Skorokhod Embedding Problem. In this paper, we consider properties of these processes, and in particular, we are able to show that the MVMs connected to the Bass and Root embeddings have natural measure-valued analogues which also possess natural optimality properties. We also introduce a new MVM which is a generalisation of both the Bass and Root MVMs.
Original languageEnglish
JournalPreprint on arXiv
Publication statusIn preparation - 23 Aug 2017

Keywords

  • math.PR
  • math.OC
  • 60G40, 60G44

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    Beiglböck, M., Cox, A. M. G., Huesmann, M., & Källblad, S. (2017). Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem. Manuscript in preparation.