Talks and Poster Presentations (without Proceedings-Entry):
"On the symmetry between the Root and Rost embeddings and their connection to certain optimal stopping problems";
Talk: Skorokhod embeddings, Martingale Optimal Transport and their applications,
University of Oxford, UK (invited);
Recent works by Cox & Wang and Cox, Obloj & Touzi have highlighted the connection between the Rost/Root solutions to the Skorokhod Embedding Problem and certain optimal stopping problems. In this talk we present a simple probabilistic argument for this connection (as opposed to the original analytical ones) which furthermore implies an interesting relationship/symmetry between the Rost and Root solutions. This is joint work with M. Beiglböck, A. Cox and M. Huesmann.
Electronic version of the publication:
Created from the Publication Database of the Vienna University of Technology.