Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

The Skorokhod problem and its offspring


Code(s) de Classification MSC:

Résumé: 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. 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.

Mots Clés: Skorokhod embedding problem ; Chacon and Walsh embedding ; Azéma-Yor embedding ; Root embedding ; stopping times ; optimal stopping

Date: 2004-02-26

Prépublication numéro: PMA-886