Vorträge und Posterpräsentationen (ohne Tagungsband-Eintrag):
J. Backhoff:
"On the symmetry between the Root and Rost embeddings and their connection to certain optimal stopping problems";
Vortrag: Skorokhod embeddings, Martingale Optimal Transport and their applications,
University of Oxford, UK (eingeladen);
16.03.2016.
Kurzfassung englisch:
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.
Elektronische Version der Publikation:
http://www.maths.bath.ac.uk/~mapamgc/SEPMOT.html#Speakers
Erstellt aus der Publikationsdatenbank der Technischen Universität Wien.