2017/08/23 by Mathias Beiglböck, Beiglböck, Mathias, Alexander M. G. Cox +5
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #math.OC #math.PR #msc:60G40 #msc:60G44
paper · pdf · doi:10.48550/arxiv.1708.07071
arxiv created 2017/08/23 · arxiv updated 2017/08/24
In this paper we consider (probability-)measure valued processes, which we call MVMs, which have a natural martingale structure. Following previous work of Eldan and Cox-Källblad, these processes are known to have a close connection to the solutions to the Skorokhod Embedding Problem. In this paper, we consider properties of these processes, and in particular, we are able to show that the MVMs connected to the Bass and Root embeddings have natural measure-valued analogues which also possess natural optimality properties. We also introduce a new MVM which is a generalisation of both the Bass and Root MVMs.