The Skorokhod embedding problem (SEP) is to represent a given probability
measure as a Brownian motion B at a particular stopping time. In recent years
particular attention has gone to solutions which exhibit additional optimality
properties due to applications to martingale inequalities and robust pricing in
mathematical finance.
Among these solutions, the Perkins embedding sticks out through its distinct
geometric properties. Moreover is the only optimal solution to the SEP which so
far has been limited to the case of Brownian motion started in a dirac
distribution.
In this paper we provide for the first time an optimal solution to the
Skorokhod embedding problem for the general SEP which leads to the Perkins
solution when applied to Brownian motion with start in a dirac. This solution
to the SEP also suggests a new geometric interpretation of the Perkins solution
which better clarifies the relation to other optimal solutions of the SEP