4 citations · 8 across the 4 of their papers we have counts for
4 papers
Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem
Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann +1
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-Källblad,…
On the Black's equation for the risk tolerance function
Sigrid Källblad, Thaleia Zariphopoulou
We analyze a nonlinear equation proposed by F. Black (1968) for the optimal portfolio function in a log-normal model. We cast it in terms of the risk tolerance function and provide…
A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping
Sigrid Källblad
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martin…
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks
Sigrid Kallblad, Xiaolu Tan, Nizar Touzi
We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval . The problem is related to the study of extremal martingales associate…