The Generalized Shiryaev Problem and Skorokhod Embedding

DOI10.1137/S0040585X97986734zbMath1328.60105arXiv1110.6664OpenAlexW2017470900MaRDI QIDQ2931886

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Publication date: 28 November 2014

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

Full work available at URL: https://arxiv.org/abs/1110.6664

zbMATH Keywords

Brownian motionfirst hitting timeSkorokhod embedding problemShiryaev's inverse boundary problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (7)

Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary ⋮ Geometry of distribution-constrained optimal stopping problems ⋮ The randomized first-hitting problem of continuously time-changed Brownian motion ⋮ An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion ⋮ An approximation for the inverse first passage time problem ⋮ Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk ⋮ An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion

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