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