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Publications in Scientific Journals:

M. Beiglböck, A. Cox, M. Huesmann, S. Källblad:
"Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem";
arXiv.org, 23. August (2017), 16 pages.



English abstract:
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-KĻallblad, 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.


Electronic version of the publication:
https://arxiv.org/abs/1708.07071


Created from the Publication Database of the Vienna University of Technology.