Electronic Journal of Probability
- Electron. J. Probab.
- Volume 20 (2015), paper no. 127, 38 pp.
An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential Equation (FBSDE), and investigating the regularity of the obtained solution. For this purpose we extend the existence, uniqueness and regularity theory of so called decoupling fields for Markovian FBSDE to a setting in which the coefficients are only locally Lipschitz continuous.
Electron. J. Probab., Volume 20 (2015), paper no. 127, 38 pp.
Received: 28 August 2014
Accepted: 8 December 2015
First available in Project Euclid: 4 June 2016
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 60H30: Applications of stochastic analysis (to PDE, etc.) 93E20: Optimal stochastic control
This work is licensed under aCreative Commons Attribution 3.0 License.
Fromm, Alexander; Imkeller, Peter; Prömel, David. An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift. Electron. J. Probab. 20 (2015), paper no. 127, 38 pp. doi:10.1214/EJP.v20-3758. https://projecteuclid.org/euclid.ejp/1465067233