On Skorokhod Embeddings and Poisson Equations

Abstract

The classical Skorokhod embedding problem for a Brownian motion $W$ asks to find a stopping time $\tau$ so that $W_\tau$ is distributed according to a prescribed probability distribution $\mu$. Many solutions have been proposed during the past 50 years and applications in different fields emerged. This article deals with a generalized Skorokhod embedding problem (SEP): Let $X$ be a Markov process with initial marginal distribution $\mu_0$ and let $\mu_1$ be a probability measure. The task is to find a stopping time $\tau$ such that $X_\tau$ is distributed according to $\mu_1$. More precisely, we study the question of deciding if a finite mean solution to the SEP can exist for given $\mu_0, \mu_1$ and the task of giving a solution which is as explicit as possible. If $\mu_0$ and $\mu_1$ have positive densities $h_0$ and $h_1$ and the generator $\mathcal A$ of $X$ has a formal adjoint operator $\mathcal A^*$, then we propose necessary and sufficient conditions for the existence of an embedding in terms of the Poisson equation $\mathcal A^* H=h_1-h_0$ and give a fairly explicit construction of the stopping time using the solution of the Poisson equation. For the class of L\'evy processes we carry out the procedure and extend a result of Bertoin and Le Jan to L\'evy processes without local times.