Processes That Can Be Embedded in a Geometric Brownian Motion

DOI10.1137/S0040585X97T987594zbMath1341.60101arXiv1310.1172OpenAlexW2963067341MaRDI QIDQ2811893

Alexander A. Gushchin, Mikhail A. Urusov

Publication date: 8 June 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1172

zbMATH Keywords

geometric Brownian motionSkorokhod embeddingminimal stopping timeMonroe's theorem

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

Integrated quantile functions: properties and applications ⋮ The Joint Law of a Max-Continuous Local Submartingale and Its Maximum ⋮ Minimal embeddings of integrable processes in a Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Model-independent bounds for option prices -- a mass transport approach
• A trajectorial interpretation of Doob's martingale inequalities
• Martingale optimal transport and robust hedging in continuous time
• Robust pricing and hedging of double no-touch options
• On the submartingale/supermartingale property of diffusions in natural scale
• Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
• The Skorokhod embedding problem and its offspring
• Processes that can be embedded in Brownian motion
• Robust hedging of the lookback option
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Embedding in Brownian motion with drift and the Azéma-Yor construction
• The Azéma-Yor embedding in non-singular diffusions.
• Root's barrier: construction, optimality and applications to variance options
• Finite, integrable and bounded time embeddings for diffusions
• The numéraire portfolio in semimartingale financial models
• An optimal Skorokhod embedding for diffusions
• Skorokhod embeddings, minimality and non-centred target distributions
• Robust Hedging of Barrier Options
• Change of Time and Change of Measure
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Robust Hedging of Double Touch Barrier Options
• SKOROKHOD EMBEDDINGS IN BOUNDED TIME
• A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
• Enlargement of σ-Algebras and Compactness of Time Changes
• PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
• Embedding submartingales in wiener processes with drift, with applications to sequential analysis
• On Embedding Right Continuous Martingales in Brownian Motion
• On the Foundations of Statistical Inference: Binary Experiments

This page was built for publication: Processes That Can Be Embedded in a Geometric Brownian Motion