Journal article
Optimal Brownian Stopping between radially symmetric marginals in general dimensions
- Abstract:
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Given an initial (resp., terminal) probability measure μ (resp., ν) on Rd, we characterize those optimal stopping times τ that maximize or minimize the functional E|B0−Bτ|α, α>0, where (Bt)t is Brownian motion with initial law B0∼μ and with final distribution --once stopped at τ-- equal to Bτ∼ν. The existence of such stopping times is guaranteed by Skorohod-type embeddings of probability measures in "subharmoic order" into Brownian motion. This problem is equivalent to an optimal mass tra...
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- Publication status:
- Not published
- Peer review status:
- Not peer reviewed
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Authors
Funding
+ Natural Sciences and Engineering Research Council of Canada
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Funding agency for:
Ghoussoub, N
Kim, Y
Bibliographic Details
- Publisher:
- Cornell University Library Publisher's website
- Journal:
- arXiv Journal website
- Publication date:
- 2017-11-08
- Acceptance date:
- 2017-11-08
Item Description
- Keywords:
- Pubs id:
-
pubs:743839
- UUID:
-
uuid:8950a7de-79af-43a0-bf83-19ba25b1f1d2
- Local pid:
- pubs:743839
- Source identifiers:
-
743839
- Deposit date:
- 2017-11-10
Terms of use
- Copyright date:
- 2017
- Notes:
- This is the author's original manuscript version of the article. This version is available online at: https://arxiv.org/abs/1711.02784
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