Prefer a chat interface with context about you and your work?
The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
We provide a complete characterisation of the Root solution to the Skorokhod embedding problem (SEP) by means of an optimal stopping formulation. Our methods are purely probabilistic and the analysis relies on a tailored time-reversal argument. This approach allows us to address the long-standing question of a multiple marginals extension …