The Skorokhod embedding problem - applications and recent developments

Time: 09:00 to  11:00 Ngày 11/08/2016

Venue/Location: B4-705

Speaker: Stephan Ankirchner

Content:

Abstract: Let $W$ be a Brownian motion (BM) and $\mu$ a centered distribution. The Skorokhod embedding problem (SEP) consists in finding an integrable stopping time $\tau$ such that the Brownian motion $W$ stopped at $\tau$ has thedistribution $\mu$. The SEP was originally solved by Skorokhod for embedding a random walk into a BM and to prove Donsker's invariance principle. Since then the SEP has turned out to appear in many other applications. The talk will give an introduction into the SEP and outline some recent developments.