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-10461
- 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.
Author: | Peter Imkeller, Stefan Ankirchner, Gregor Heyne |
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URN: | urn:nbn:de:0296-matheon-10461 |
Referee: | Dirk Becherer |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2012/01/31 |
Release Date: | 2012/01/31 |
Institute: | Humboldt-Universität zu Berlin |
MSC-Classification: | 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G40 Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] |
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G44 Martingales with continuous parameter | |
Preprint Number: | 909 |