Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints
Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints
The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the weak formulation of the optimal Skorokhod embedding problem in Beiglböck, Cox, and Huesmann [Optimal …