- Probab. Surveys
- Volume 1 (2004), 321-392.
The Skorokhod embedding problem and its offspring
This is a survey about the Skorokhod embedding problem. It presents all known solutions together with their properties and some applications. Some of the solutions are just described, while others are studied in detail and their proofs are presented. A certain unification of proofs, based on one-dimensional potential theory, is made. Some new facts which appeared in a natural way when different solutions were cross-examined, are reported. Azéma and Yor’s and Root’s solutions are studied extensively. A possible use of the latter is suggested together with a conjecture.
Probab. Surveys, Volume 1 (2004), 321-392.
First available in Project Euclid: 29 December 2004
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 60G44: Martingales with continuous parameter 60J25: Continuous-time Markov processes on general state spaces 60J45: Probabilistic potential theory [See also 31Cxx, 31D05]
Obłój, Jan. The Skorokhod embedding problem and its offspring. Probab. Surveys 1 (2004), 321--392. doi:10.1214/154957804100000060. https://projecteuclid.org/euclid.ps/1104335302