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Séminaire des doctorants - 18 décembre 2015

Guo Gaoyue (CMAP) - On optimal Skorokhod embedding

Salle de conférence du CMAP - 15h30

The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. We consider an extension of the optimal Skorokhod embedding problem to the case of finitely-many marginal constraints. Using the classical convex duality approach together with the optimal stopping theory, we obtain the duality results which are formulated by means of probability measures on an enlarged space. In addition, an geometric characterization of the optimizers is provided.

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