Abstract
We provide a complete characterisation of the Root solution to the Skorokhod embedding problem (SEP) by means of an optimal stopping formulation. Our methods are purely probabilistic and the analysis relies on a tailored time-reversal argument. This approach allows us to address the long-standing question of a multiple marginals extension of the Root solution of the SEP. Our main result establishes a complete solution to the n-marginal SEP using first hitting times of barrier sets by the time–space process. The barriers are characterised by means of a recursive sequence of optimal stopping problems. Moreover, we prove that our solution enjoys a global optimality property extending the one-marginal Root case. Our results hold for general, one-dimensional, martingale diffusions.
Original language | English |
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Pages (from-to) | 211-259 |
Number of pages | 49 |
Journal | Probability Theory and Related Fields |
Volume | 173 |
Issue number | 1-2 |
Early online date | 10 Feb 2018 |
DOIs | |
Publication status | Published - 28 Feb 2019 |
ASJC Scopus subject areas
- Analysis
- Statistics and Probability
- Statistics, Probability and Uncertainty
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Alex Cox
- Department of Mathematical Sciences - Deputy Head of Department
- EPSRC Centre for Doctoral Training in Statistical Applied Mathematics (SAMBa)
- Probability Laboratory at Bath
Person: Research & Teaching