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UID:20260905T095756EDT-0439uZGwNf@132.216.98.100
DTSTAMP:20260905T135756Z
DESCRIPTION:The Skorokhod problem and Generalized Shiryaev's Embedding.\n\n
 We consider two intimately connected stopping problems for the Wiener proc
 ess. The first problem\, usually called\, the Skorokhod problem\, is formu
 lated as follows: Find a stopping time\, T\, such that the distribution of
  the stopped process W(T) coincides with a given distribution. In the sett
 ing 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 r
 andomization approach to these problems clarifying their connection.\n
DTSTART:20180301T203000Z
DTEND:20180301T213000Z
LOCATION:Room VCH-3830\, CA\, Université Laval
SUMMARY:Alex Kreinin\, IBM Risk Analytics
URL:https://www.mcgill.ca/mathstat/channels/event/alex-kreinin-ibm-risk-ana
 lytics-285303
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