Finite, integrable and bounded time embeddings for diffusions

DOI10.3150/14-BEJ598zbMath1328.60101arXiv1306.3942OpenAlexW3099402083MaRDI QIDQ2348736

David G. Hobson, Philipp Strack, Stefan Ankirchner

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.3942

zbMATH Keywords

stochastic differential equationsweak solutionsstopping timesSkorokhod embedding problemtime-homogeneous diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (8)

Numerical approximation of irregular SDEs via Skorokhod embeddings ⋮ On the continuity of the root barrier ⋮ On expected utility in optimal stopping of diffusions ⋮ The Skorokhod embedding problem for inhomogeneous diffusions ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ Stopping with expectation constraints: 3 points suffice ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ An integral equation for Root's barrier and the generation of Brownian increments

Cites Work

• Gambling in contests
• Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
• The Azéma-Yor embedding in non-singular diffusions.
• Root's barrier: construction, optimality and applications to variance options
• Hedging variance options on continuous semimartingales
• An optimal Skorokhod embedding for diffusions
• Skorokhod embeddings, minimality and non-centred target distributions
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• SKOROKHOD EMBEDDINGS IN BOUNDED TIME
• The Existence of Certain Stopping Times on Brownian Motion
• On Embedding Right Continuous Martingales in Brownian Motion
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