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math.PR2018
The Skorokhod embedding problem for inhomogeneous diffusions
Stefan Ankirchner, Stefan Engelhardt, Alexander Fromm +1
We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =μ(t, A_t) d t +…
math.PR2018
The method of decoupling fields generalized to higher spatial derivatives
Alexander Fromm
This work studies the spatial derivatives of decoupling fields to strongly coupled forward-backward stochastic differential equations in a Brownian setting. We formally deduce the…
math.PR2017
Utility maximization via decoupling fields
Alexander Fromm, Peter Imkeller
We consider the utility maximization problem for a general class of utility functions defined on the real line. We rely on existing results which reduce the problem to a coupled fo…