Chacon, R.V. and J.B. Walsh; One-dimensional potential embedding, Seminaire de Probabilites, X, 19-23, 1976. Home/Search Document Not in Database Summary Related Articles Check |
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An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
....to Skorokhod problem were given by [10] Hence attention switches to the construction of solutions. When (X t ) t 0 is a a one dimensional Brownian motion started at 0 and is a zero mean target distribution, many explicit constructions of stopping rules which embed are known, see for example [12, 3, 9, 2]. For Brownian motion it is interesting to seek embeddings with additional optimality properties, such as the embedding which minimises the variance of the stopping time [11] the embedding which stochastically minimises the law of the local time at zero [13] or the embedding which maximises the ....
R. V. Chacon and J. B. Walsh. One-dimensional potential embedding. In Seminaire de Probabilites, X (Premiere partie, Univ. Strasbourg, Strasbourg, annee universitaire 1974.
The Minimum Maximum of a Continuous Martingale with Given.. - Hobson, Pedersen (2002) (1 citation) (Correct)
....of Jensen s inequality shows that a further necessary condition for the space to be non empty is that (1.1) for all x R . This condition is also su#cient, see for example Strassen [19, Theorem 2] or Meyer [11, Chapter XI] It follows from the construction in Chacon and Walsh [4] that this is also a necessary and su#cient condition for to be non empty. Henceforth we assume that (1.1) holds. 2000 Mathematics Subject Classification. Primary 60G44, 60E15. Secondary 60J65. Key words and phrases. Continuous martingale, maximum process, stochastic domination, greatest lower ....
Chacon, R. and Walsh, J.B. (1976). One-dimensional potential embedding. Seminaire de Probabilites X, Lecture Notes in Math. 511, Springer (19-23).
The Minimum Maximum of a Continuous Martingale with Given.. - Hobson, Pedersen (2000) (1 citation) (Correct)
.... shows that a further necessary condition for the space to be non empty is that Z 1 x (y x) 0 (dy) Z 1 x (y x) 1 (dy) 8x: 1) This condition is also sucient, see for example Strassen [18, Theorem 2] or Meyer [10, Chapter XI] It follows from the construction in Chacon and Walsh [4] that this is also a necessary and sucient condition for MC to be non empty. Henceforth we assume that (1) holds. Consider rst the problem of determining bounds on P( 0 ; 1 ) where 0 is the unit mass at 0. This problem is a special case of a problem rst considered in Blackwell and Dubins [2] ....
Chacon, R. and Walsh, J.B.; One-dimensional potential embedding, Seminaire de Probabilites, X, 19-23, 1976.
Local Martingales, Bubbles and Option Prices - Alexander Cox Department (Correct)
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Chacon, R.V. and J.B. Walsh; One-dimensional potential embedding, Seminaire de Probabilites, X, 19-23, 1976.
An Optimal Skorokhod Embedding for Di usions A.M.G. Cox - And Hobson Department (Correct)
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R. V. Chacon and J. B. Walsh. One-dimensional potential embedding. In Seminaire de Probabilites, X (Premiere partie, Univ. Strasbourg, Strasbourg, annee universitaire 1974.
The Maximum Maximum of a Martingale - David Hobs On (Correct)
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Chacon, R. and Walsh, J.B.; One-dimensional potential embedding, S'eminaire de Probabilit'es, X, 19--23, 1976.
The Minimum Maximum of a Continuous Martingale with Given.. - And Terminal Laws (Correct)
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Chacon, R. and Walsh, J.B.; One-dimensional potential embedding, Seminaire de Probabilites, X, 19-23, 1976.
Local Martingales, Bubbles and Option Prices - Alexander Cox Department (Correct)
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Chacon, R.V. and J.B. Walsh; One-dimensional potential embedding, Seminaire de Probabilites, X, 19-23, 1976.
Skorokhod embeddings, minimality and non-centred target.. - Cox And Hobson (Correct)
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Chacon, R. V. and J. B. Walsh (1976), One-dimensional potential embedding, in `Seminaire de Probabilites, X (Premiere partie, Univ. Strasbourg, Strasbourg, annee universitaire 1974/1975)', Springer, Berlin, pp. 19-23. Lecture Notes in Math., Vol. 511.
The Skorokhod problem and its offspring - Obloj (2004) (Correct)
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R. V. Chacon and J. B. Walsh. One-dimensional potential embedding. In Seminaire de Probabilites, X (Premiere partie, Univ. Strasbourg, Strasbourg, annee universitaire 1974.
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
No context found.
R. V. Chacon and J. B. Walsh. One-dimensional potential embedding. In Seminaire de Probabilites, X (Premiere partie, Univ. Strasbourg, Strasbourg, annee universitaire 1974.
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