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A conformal Skorokhod embedding
Renan Grossa b✉
- aWeizmann Institute of Science , Israel
- bWeizmann institute of science
- ✉Corresponding author
Electronic Communications in ProbabilityInstitute of Mathematical Statistics2019-01-01 15 citations9 references
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Abstract
Start a planar Brownian motion and let it run until it hits some given barrier. We show that the barrier may be crafted so that the $x$ coordinate at the hitting time has any prescribed centered distribution with finite variance. This provides a new, complex-analytic proof of the Skorokhod embedding theorem. Our method is constructive and can give an explicit description of the barrier.

