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dc.contributor.authorKällblad, Sigrid
dc.contributor.authorTan, Xiaolu
dc.contributor.authorTouzi, Nizar
dc.date.accessioned2019-04-23T09:04:10Z
dc.date.available2019-04-23T09:04:10Z
dc.date.issued2017
dc.identifier.issn1050-5164
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18734
dc.language.isoenen
dc.subjectmaximum of martingale given marginalsen
dc.subjectmar-tingale transport problemen
dc.subjectmartingale inequalityen
dc.subjectSkorokhod embedding problemen
dc.subjectpeacocksen
dc.subject.ddc519en
dc.titleOptimal Skorokhod embedding given full marginals and Azéma -Yor peacocksen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval [0, 1]. The problem is related to the study of extremal martingales associated with a peacock ( process increasing in convex order " , by Hirsch, Profeta, Roynette and Yor [16]). A general duality result is obtained by convergence techniques. We then study the case where the reward function depends on the maximum of the embedding process, which is the limit of the martingale transport problem studied in Henry-Labord ere, Ob lój , Spoida and Touzi [13]. Under technical conditions, some explicit characteristics of the solutions to the optimal SEP as well as to its dual problem are obtained. We also discuss the associated martingale inequality.en
dc.relation.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol27en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages686-719en
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statisticsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-03-27T10:51:07Z
hal.person.labIds89626
hal.person.labIds60
hal.person.labIds89626


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