Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem
Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem
复制标题
Skorokhod 嵌入问题的测值鞅和 Bass 型解的最优性
DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Sigrid Kallblad
中科院分区：
文献类型：
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作者：
Mathias Beiglbock;A. Cox;M. Huesmann;Sigrid Kallblad
在本文中，我们考虑（概率）测度值的过程，我们称之为MVMs，它有一个自然的鞅结构。在Eldan和Cox-K“allblad之前的工作之后，这些过程被认为与Skorokhod嵌入问题的解决方案有着密切的联系。在本文中，我们考虑这些过程的属性，特别是，我们能够证明，连接到低音和根嵌入的多值向量机有自然的测量值的类似物，也具有自然的最优性。我们还介绍了一个新的MVM，这是一个概括的低音和根MVM。
In this paper we consider (probability-)measure valued processes, which we call MVMs, which have a natural martingale structure. Following previous work of Eldan and Cox-K"allblad, these processes are known to have a close connection to the solutions to the Skorokhod Embedding Problem. In this paper, we consider properties of these processes, and in particular, we are able to show that the MVMs connected to the Bass and Root embeddings have natural measure-valued analogues which also possess natural optimality properties. We also introduce a new MVM which is a generalisation of both the Bass and Root MVMs.
影响因子：
3.1
作者：
Beiglboeck, Mathias;Cox, Alexander M. G.;Huesmann, Martin
通讯作者：
Huesmann, Martin