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On the Root solution to the Skorokhod embedding problem given full marginals

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 نشر من قبل Alexandre Richard
 تاريخ النشر 2018
  مجال البحث
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This paper examines the Root solution of the Skorohod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on finitely-many marginals Root solution of Cox, Obloj and Touzi. Our main result provides a characterization of the corresponding potential function by means of a convenient parabolic PDE.

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