Embedding in Brownian motion with drift and the Azéma-Yor construction

DOI10.1016/S0304-4149(99)00077-0zbMath0997.60080OpenAlexW2066924775MaRDI QIDQ1613593

Neil Falkner, Peter Grandits

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00077-0

zbMATH Keywords

Brownian motion with driftSkorokhod embeddingAzéma-Yor stopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (5)

A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT ⋮ An optimal Skorokhod embedding for diffusions ⋮ The Azéma-Yor embedding in non-singular diffusions. ⋮ Skorokhod embeddings, minimality and non-centred target distributions ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion

Cites Work

• Stopping distributions for right processes
• Potentials of stopped distributions
• Die Stoppverteilungen eines Markoff-Prozesses mit lokalendlichem Potential
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