Optimal Skorokhod embedding given full marginals and Azéma -Yor peacocks *
Optimal Skorokhod embedding given full marginals and Azéma -Yor peacocks *
We 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). A general duality result is obtained by convergence techniques. …