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math.PR2017★ 4 cited
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,…
math.PR2015
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…