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2004 The Skorokhod embedding problem and its offspring
Jan Obłój
Probab. Surveys 1: 321-392 (2004). DOI: 10.1214/154957804100000060

Abstract

This is a survey about the Skorokhod embedding problem. It presents all known solutions together with their properties and some applications. Some of the solutions are just described, while others are studied in detail and their proofs are presented. A certain unification of proofs, based on one-dimensional potential theory, is made. Some new facts which appeared in a natural way when different solutions were cross-examined, are reported. Azéma and Yor’s and Root’s solutions are studied extensively. A possible use of the latter is suggested together with a conjecture.

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Jan Obłój. "The Skorokhod embedding problem and its offspring." Probab. Surveys 1 321 - 392, 2004. https://doi.org/10.1214/154957804100000060

Information

Published: 2004
First available in Project Euclid: 29 December 2004

zbMATH: 1189.60088
MathSciNet: MR2068476
Digital Object Identifier: 10.1214/154957804100000060

Subjects:
Primary: 60G40 , 60G44 , 60J25 , 60J45

Keywords: Azéma-Yor embedding , Chacon-Walsh embedding , one-dimensional potential theory , Optimal stopping , Root embedding , Skorokhod embedding problem , stopping times

Rights: Copyright © 2004 The Institute of Mathematical Statistics and the Bernoulli Society

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