L. E. Dubins. On a theorem of Skorohod. Ann. Math. Statist., 39:2094. 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 ....
L. E. Dubins. On a theorem of Skorohod. Ann. Math. Statist., 39:2094.
An Optimal Skorokhod Embedding for Di usions A.M.G. Cox - And Hobson Department (Correct)
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L. E. Dubins. On a theorem of Skorohod. Ann. Math. Statist., 39:2094.
Skorokhod embeddings, minimality and non-centred target.. - Cox And Hobson (Correct)
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Dubins, L. E. (1968), `On a theorem of Skorohod', Ann. Math. Statist. 39, 2094-2097.
The Skorokhod problem and its offspring - Obloj (2004) (Correct)
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L. E. Dubins. On a theorem of Skorohod. Ann. Math. Statist., 39:2094.
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
No context found.
L. E. Dubins. On a theorem of Skorohod. Ann. Math. Statist., 39:2094.
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