Skorokhod Embedding is a probabilistic method in stochastic process theory that embeds a given probability distribution into a Brownian motion path via a carefully constructed stopping time, thereby enabling the study of distributional properties through pathwise constructions.
62
Publications
2.9K
Citations
62
Authors
46
Institutions
Publications per year
2017–2026
8
Variants
Skorokhod Embedding Problem
Parents
Publications
62
Information and option pricings
Xin Guo · Quantitative Finance · 2001 · 270 citations
The Skorokhod embedding problem and its offspring
Jan Obłój · Probability Surveys · 2004 · 262 citations · Full text
A new method of normal approximation
Sourav Chatterjee · The Annals of Probability · 2008 · 174 citations · Full text
1–5 of 62
Authors
62
- AM
8
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- NT
8
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- DH
7
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- JO
5
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- MB
4
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1–5 of 62
Institutions
46
University of Bath
Bath, United Kingdom
9 h-index
12 publications
509 citations
École Polytechnique
Palaiseau, France
8 h-index
11 publications
573 citations
Columbia University
New York, United States
5 h-index
7 publications
195 citations
Stanford University
Stanford, United States
4 h-index
4 publications
122 citations
University of Bonn
Bonn, Germany
4 h-index
6 publications
236 citations
Université Paris Dauphine-PSL
Paris, France
3 h-index
4 publications
133 citations
University of Warwick
Coventry, United Kingdom
3 h-index
4 publications
331 citations
TU Wien
Vienna, Austria
3 h-index
3 publications
190 citations
1–8 of 46
Venues
- The Annals of Applied Probability
9 publications · 435 citations
9
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- The Annals of Probability
5 publications · 304 citations
5
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- Stochastic Processes and their Applications
4 publications · 95 citations
4
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- Journal of Applied Probability
JAP · 3 publications · 82 citations
3
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- SSRN Electronic Journal
Repository · 3 publications · 69 citations
3
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