An explicit solution to the Skorokhod embedding problem for double exponential increments
DOI10.1016/j.spl.2020.108867zbMath1450.60033arXiv2002.00361OpenAlexW3039440307WikidataQ115566825 ScholiaQ115566825MaRDI QIDQ2197632
Giang T. Nguyen, Oscar Peralta
Publication date: 1 September 2020
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.00361
rate of convergencestrong convergenceBrownian motionPoisson processSkorokhod embedding problemuniform transport process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)
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