Skorokhod Embedding by Randomized Hitting Times

DOI10.1007/978-1-4684-0562-0_8zbMath0742.60068OpenAlexW1574781182MaRDI QIDQ3972793

Patrick J. Fitzsimmons

Publication date: 26 June 1992

Published in: Seminar on Stochastic Processes, 1990 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4684-0562-0_8

zbMATH Keywords

stopping timeSkorokhod embedding problemright Markov processstrong Markov processrandomized hitting time

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45)

Related Items (4)

Convexity properties of harmonic measures ⋮ Jensen measures and harmonic measures ⋮ Shrinkage estimators, Skorokhod's problem and stochastic integration by parts ⋮ Stopping distributions for right processes

This page was built for publication: Skorokhod Embedding by Randomized Hitting Times