Abstract
In this paper we consider the Skorokhod embedding problem for general starting and target measures. In particular, we provide necessary and sufficient conditions for a stopping time to be minimal in the sense of Monroe. The resulting conditions have a nice interpretation in the graphical picture of Chacon and Walsh.
Further, we demonstrate how the construction of Chacon and Walsh can be extended to any (integrable) starting and target distributions, allowing the constructions of Azéma-Yor, Vallois and Jacka to be viewed in this context, and thus extended easily to general starting and target distributions. In particular, we describe in detail the extension of the Azéma-Yor embedding in this context, and show that it retains its optimality property.
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Cox, A.M.G. (2008). Extending Chacon-Walsh: Minimality and Generalised Starting Distributions. In: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (eds) Séminaire de Probabilités XLI. Lecture Notes in Mathematics, vol 1934. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-77913-1_12
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