英文标题：
《Optimal Skorokhod embedding under finitely-many marginal constraints》
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作者：
Gaoyue Guo, Xiaolu Tan and Nizar Touzi
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最新提交年份：
2016
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英文摘要：
The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod embedding problem to the case of finitely-many marginal constraints. Using the classical convex duality approach together with the optimal stopping theory, we obtain the duality results which are formulated by means of probability measures on an enlarged space. We also relate these results to the problem of martingale optimal transport under multiple marginal constraints.
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中文摘要：
Skorokhod嵌入问题旨在将实线上给定的概率测度表示为布朗运动在选定的停止时间停止的分布。在本文中，我们考虑将最优Skorokhod嵌入问题推广到有限多个边际约束的情况。利用经典的凸对偶方法和最优停止理论，我们得到了在一个扩大的空间上用概率测度表示的对偶结果。我们还将这些结果与多重边际约束下的鞅最优运输问题联系起来。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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