An optimal Skorokhod embedding for diffusions
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Publication:2485750
DOI10.1016/j.spa.2004.01.003zbMath1070.60070arXivmath/0212174OpenAlexW2086950044MaRDI QIDQ2485750
David G. Hobson, Alexander Matthew Gordon Cox
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0212174
Related Items (8)
An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ Cautious stochastic choice, optimal stopping and deliberate randomization ⋮ Skorokhod embeddings, minimality and non-centred target distributions ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ Stopping with expectation constraints: 3 points suffice ⋮ Optimal stopping of the maximum process: a converse to the results of Peskir ⋮ On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale ⋮ Finite, integrable and bounded time embeddings for diffusions
Cites Work
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- Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative.
- The Existence of Certain Stopping Times on Brownian Motion
- On a Theorem of Skorohod
- On Embedding Right Continuous Martingales in Brownian Motion
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