The Skorokhod embedding problem and its offspring by Oblog J. PDF

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Extra info for The Skorokhod embedding problem and its offspring

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Jacka [44] - again this work is concerned with Doob-like inequalities. The case of reflected Brownian motion and its supremum process is treated. A kind of maximality principle in this special case is establish although it is not visible at first reading. • Rogers [73] - a characterization of possible joint laws of the maximum and terminal value of a uniformly integrable martingale (or convergent continuous local martingale vanishing at zero) is developed. A number of previous results from the previous three articles on the list can be deduced.

The results are applied to the robust hedging of a forward start digital option. 19. 11 Some applications 11 51 Some applications The Skorokhod embedding problem is quite remarkable as it exists in the literature for over 40 years by now, but it still comes back in various forms, it poses new challenges and is used for new applications. A thorough account of applications of this problem would require at least as much space as we have taken so far to describe the problem itself and its solutions.

Une solution simple au probl`eme de Skorokhod. In S´eminaire de Probabilit´es, XIII (Univ. , pages 90–115. Springer, Berlin, 1979. [4] R. F. Bass. Skorokhod imbedding via stochastic integrals. , pages 221–224. Springer, Berlin, 1983. [5] J. R. Baxter and R. V. Chacon. Potentials of stopped distributions. Illinois J. , 18:649–656, 1974. [6] J. Bertoin and Y. Le Jan. Representation of measures by balayage from a regular recurrent point. Ann. , 20(1):538–548, 1992. [7] D. Blackwell and L. E. Dubins.

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The Skorokhod embedding problem and its offspring by Oblog J.


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