TY - GEN A1 - Imkeller, Peter A1 - Ankirchner, Stefan A1 - Heyne, Gregor T1 - A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift N2 - We solve Skorokhod's embedding problem for Brownian motion with linear drift $(W_t+ \kappa t)_{t\geq 0}$ by means of techniques of stochastic control theory. The search for a stopping time $T$ such that the law of $W_T + \kappa T$ coincides with a prescribed law $\mu$ possessing the first moment is based on solutions of backward stochastic differential equations of quadratic type. This new approach generalizes an approach by Bass [Bas] of the classical version of Skorokhod's embedding problem using martingale representation techniques. Y1 - 2012 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/1046 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-10461 ER -