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A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift

Please always quote using this URN:urn:nbn:de:0296-matheon-6354
  • We solve Skorokhod's embedding problem for Brownian mostion with linear drift $(W_t + \kappa t)_{t\ge 0}$ 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 $\mu$ processing the first moment is based on solutions of backward stochastic differential equations of quadratic type. Theis new approach generalizes an approach by Bass [BAS] of the classical version of Skorokhod's embedding problem using martingale representation techniques.

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Metadaten
Author:Stefan Ankirchner, Gregor Heyne, Peter Imkeller
URN:urn:nbn:de:0296-matheon-6354
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2009/07/26
Release Date:2009/07/24
Tag:
Institute:Humboldt-Universität zu Berlin
Preprint Number:642
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