The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod embedding problem in Beiglböck, Cox & Huesmann [1] to the case of finitely-many marginal constraints1. Using the classical convex duality approach together with th...

In this paper we consider a formulation of theH2 optimal control problem in which the controller is not viewed as an operator that transforms measurements to controls. Instead, the controller is assumed to be a device that constrains a set of a-priori specified interconnection variables so as to achieve a controlled system whose manifest variables have a free component and satisfy an upperbound...