The Skorokhod Embedding Problem is one of the classical problems in the theory of stochastic processes, with applications in many different fields [cf. the surveys (Hobson in: Paris-Princeton lectures on mathematical finance...
The Skorokhod Embedding Problem is one of the classical problems in the theory of stochastic processes, with applications in many different fields [cf. the surveys (Hobson in: Paris-Princeton lectures on mathematical finance...
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in [A. M. G. Cox and S. Källblad, SIAM J. Control Optim., 55...
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in [A. M. G. Cox and S. Källblad, SIAM J. Control Optim., 55...
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