Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints.

Gaoyue Guo Xiaolu Tan Nizar Touzi

Published in: SIAM J. Control. Optim. (2016)

Keyphrases

probability distribution
closed form
reducing the search space
optimal solution
dynamic programming
constraint satisfaction
constraint programming
constraint networks
decision variables
database
search algorithm
worst case
vector space
constrained optimization