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2015 An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
Alexander Fromm, Peter Imkeller, David Prömel
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Electron. J. Probab. 20: 1-38 (2015). DOI: 10.1214/EJP.v20-3758

Abstract

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.

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Alexander Fromm. Peter Imkeller. David Prömel. "An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift." Electron. J. Probab. 20 1 - 38, 2015. https://doi.org/10.1214/EJP.v20-3758

Information

Received: 28 August 2014; Accepted: 8 December 2015; Published: 2015
First available in Project Euclid: 4 June 2016

zbMATH: 1332.60081
MathSciNet: MR3438741
Digital Object Identifier: 10.1214/EJP.v20-3758

Subjects:
Primary: 60G40
Secondary: 60H30, 93E20

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