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X: 12, 194-208, LNM 511 (1976)
ROST, Hermann
Skorohod stopping times of minimal variance (Markov processes)
Root's (Ann. Math. Stat., 40, 1969) solution of the Shorohod imbedding problem for Brownian motion uses the hitting time of a barrier in space-time. Here Root's construction is extended to general Markov processes, an optimality property of Root's stopping times is proved, as well as the uniqueness of such stopping times
Comment: For previous work of the author on Skorohod's imbedding see Ann. M. Stat. 40, 1969 and Invent. Math. 14, 1971, and in this Seminar 523, 613, 806. A general survey on the Skorohod embedding problem is Ob\lój, Probab. Surv. 1, 2004
Keywords: Skorohod imbedding
Nature: Original
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