{"paper":{"title":"Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC"],"primary_cat":"math.PR","authors_text":"Nizar Touzi, Sigrid Kallblad, Xiaolu Tan","submitted_at":"2015-03-02T12:38:34Z","abstract_excerpt":"We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval $[0,1]$. The problem is related to the study of extremal martingales associated with a peacock (\"process increasing in convex order\", by Hirsch, Profeta, Roynette and Yor). A general duality result is obtained by convergence techniques. We then study the case where the reward function depends on the maximum of the embedding process, which is the limit of the martingale transport problem studied in Henry-Labordere, Obloj, Spoida and Touzi. Under technical conditions, some explicit characteristi"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1503.00500","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}