Peter Spoida
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View article: An iterated Azéma–Yor type embedding for finitely many marginals
An iterated Azéma–Yor type embedding for finitely many marginals Open
We solve the $n$-marginal Skorokhod embedding problem for a continuous local martingale and a sequence of probability measures $μ_1,...,μ_n$ which are in convex order and satisfy an additional technical assumption. Our construction is expl…