Event
Alex Kreinin, IBM Risk Analytics
The Skorokhod problem and Generalized Shiryaev's Embedding.
We consider two intimately connected stopping problems for the Wiener process. The first problem, usually called, the Skorokhod problem, is formulated as follows: Find a stopping time, T, such that the distribution of the stopped process W(T) coincides with a given distribution. In the setting of Shiryaev's embedding problem one needs to find a stopping time, T, in a natural W-filtration with a given distribution of T. We discuss a randomization approach to these problems clarifying their connection.