J. Azema and M. Yor. Une solution simple au probleme de Skorokhod. In Seminaire de Probabilites, XIII (Univ. Strasbourg, Strasbourg, 1977. Home/Search Document Not in Database Summary Related Articles Check |
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An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
.... 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 law of the supremum of the stopped process [1]. The rst purpose of this article is to consider the embedding in Brownian motion of a target distribution which is not centred and may not even be integrable. Note that if the target distribution has nite mean m then one way E mail: mapamgc maths.bath.ac.uk E mail: dgh maths.bath.ac.uk ....
J. Azema and M. Yor. Une solution simple au probleme de Skorokhod. In Seminaire de Probabilites, XIII (Univ. Strasbourg, Strasbourg, 1977.
The Minimum Maximum of a Continuous Martingale with Given.. - Hobson, Pedersen (2002) (1 citation) (Correct)
....in Blackwell and Dubins [2] and Dubins and Gilat [6] Let denote stochastic ordering on probability measures, so that # if and only if #( #,x) #( #,x) for all x R ) and let # # denote the Hardy transform of a probability measure # . Then it follows from [2] 6] and Azema and Yor [1] that (1.2) # 0 1 . Kertz and Rosler [10] have shown that the converse to (1.2) also holds: for any probability measure # satisfying # 0 # 1 , there is a martingale with terminal distribution 1 whose maximum has law # . See also Rogers [17] for a proof of these results based on ....
....t 1 . This construction involves the use of independent randomisation using the random variable G . For comments on the necessity of such randomisation see Remark 2.3 below. We begin however with some examples of the construction. Example 1. Let 0 = # 0 and 1 is the uniform distribution on [ 1, 1] . Then we compute that c(x) x 1 ( 1,0) x) 1 [0,1) x) and g(x) x 2 # x for 0 x 1 and g(x) x elsewhere (see Figure 3) This example is also studied in Perkins [12] Figure 2. Describing stopping times in (B t , S t ) plane. The horizontal lines to the left of the ....
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Az ema, J. and Yor, M. (1979). Une solution simple au probleme de Skorokhod. Seminaire de Probabilites XIII, Lecture Notes in Math. 721, Springer (90-115).
Brownian Motion - Mörters, Peres (2006) Self-citation (Yor) (Correct)
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J. Az ema and M. Yor. Une solution simple au probleme de Skorokhod. In: Seminar on probability XIII, 90--115, Springer LNM 721 (1979).
An Optimal Skorokhod Embedding for Di usions A.M.G. Cox - And Hobson Department (Correct)
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J. Azema and M. Yor. Une solution simple au probleme de Skorokhod. In Seminaire de Probabilites, XIII (Univ. Strasbourg, Strasbourg, 1977.
The Minimum Maximum of a Continuous Martingale with Given.. - And Terminal Laws (Correct)
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Az ema, J. and Yor, M.; Une solution simple au probleme de Skorokhod, Seminaire de Probabilites, XIII, 90-115, 1979.
Optimal stopping of the maximum process: a converse to the.. - David Hobson April (Correct)
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Az ema, J. and Yor, M., Une solution simple au probleme de Skorokhod, Seminaire de Probabilites. XIII, 90--115, and 65--633, 1979.
Skorokhod embeddings, minimality and non-centred target.. - Cox And Hobson (Correct)
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Azema, J. and M. Yor (1979), Une solution simple au probleme de Skorokhod, in `Seminaire de Probabilites, XIII (Univ. Strasbourg, Strasbourg, 1977/78)', Springer, Berlin, pp. 90-115.
Optimal stopping of the maximum process: a converse to the.. - David Hobson First (Correct)
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Az ema, J. and Yor, M., Une solution simple au probleme de Skorokhod, Seminaire de Probabilites. XIII, 90--115, and 65--633, 1979.
The Skorokhod problem and its offspring - Obloj (2004) (Correct)
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J. Azema and M. Yor. Une solution simple au probleme de Skorokhod. In Seminaire de Probabilites, XIII (Univ. Strasbourg, Strasbourg, 1977.
The Skorokhod problem and its offspring - Obloj (2004) (Correct)
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J. Azema and M. Yor. Le probleme de Skorokhod: complements a "Une solution simple au probleme de Skorokhod". In Seminaire de Probabilites, XIII (Univ. Strasbourg, Strasbourg, 1977.
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
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J. Azema and M. Yor. Une solution simple au probleme de Skorokhod. In Seminaire de Probabilites, XIII (Univ. Strasbourg, Strasbourg, 1977.
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