PDE methods for optimal Skorokhod embeddings

We consider cost minimizing stopping time solutions to Skorokhod embedding problems, which deal with transporting a source probability measure to a given target measure through a stopped Brownian process. PDEs and a free boundary problem approach are used to address the problem in general dimensions...

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Veröffentlicht in:	Calculus of variations and partial differential equations 2019-06, Vol.58 (3), p.1-31, Article 113
Hauptverfasser:	Ghoussoub, Nassif, Kim, Young-Heon, Palmer, Aaron Zeff
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Calculus of Variations and Optimal Control Optimization Control Free boundaries Mass flow Mathematical and Computational Physics Mathematics Mathematics and Statistics Systems Theory Theoretical Transport theory
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