1-4 September 2015
Angers - France
Europe/Paris timezone

On the Skorokhod embedding problem and FBSDE

2 Sep 2015, 09:00
40m
Angers - France

Angers - France

Speaker

Prof. Peter Imkeller (Mathematisches Institut der Humboldt-Universität zu Berlin)

Description

A link between martingale representation and solutions of the Skorokhod embedding problem has been established by R. Bass. A generalization of his approach to FBSDE leads us to solutions of the Skorokhod embedding problem for diffusion processes with deterministic drift. This is joint work with Alexander Fromm and David Prömel.

Primary author

Prof. Peter Imkeller (Mathematisches Institut der Humboldt-Universität zu Berlin)

Presentation Materials

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