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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| 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 |
