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math.PR2023
Delayed switching identities and multi-marginal solutions to the Skorokhod embedding problem
Alexander M. G. Cox, Annemarie M. Grass
In this article, we consider a generalisation of the Skorokhod embedding problem (SEP) with a delayed starting time. In the delayed SEP, we look for stopping times which embed a gi…
math.PR2020
Switching Identities by Probabilistic Means
J. Backoff, A. M. G. Cox, A. Grass +1
Switching identities have a long history in potential theory and stochastic analysis. In recent work of Cox and Wang, a switching identity was used to connect an optimal stopping p…