P. Grandits and N. Falkner. Embedding in Brownian motion with drift and the Azema-Yor construction. Stochastic Process. Appl., 85(2):249-254, 2000. Home/Search Document Not in Database Summary Related Articles Check |
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An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
....and we are able to identify the cases where it is possible to embed a given target distribution, thus rederiving a result in [6] We also identify some properties of the maximum and minimum of the processes in these cases. Our results in this direction can be seen as an extension of the results in [4] (for drifting Brownian motion) and [6] However in this last paper the authors use an extension of the Azema Yor embedding which may not be de ned in certain cases of interest. Thus our construction of a Skorokhod embedding is both di erent to, and more general than, the embedding in [6] The ....
....scale function for Y , so sup y s(y) 1. If R s(y) dy) 0, then it is not possible to embed in Y . If R s(y) dy) 0, we may embed in Y , and since e dy 1; if follows that if 2 L , then sup t jY T t j is too. These conclusions should be compared with those in [4]. Grandits and Falkner conclude that if Y is drifting Brownian motion, and if T is any embedding of in Y , then T . Example 18 (Bessel 3 Process) In [5] the authors consider a Skorokhod embedding for the Bes(3) process. Let Y solve dY t = dB t Y t dt; Y 0 = 1: Then I = 0; 1) and ....
P. Grandits and N. Falkner. Embedding in Brownian motion with drift and the Azema-Yor construction. Stochastic Process. Appl., 85(2):249-254, 2000.
An Optimal Skorokhod Embedding for Di usions A.M.G. Cox - And Hobson Department (Correct)
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P. Grandits and N. Falkner. Embedding in Brownian motion with drift and the Azema-Yor construction. Stochastic Process. Appl., 85(2):249-254, 2000.
Skorokhod embeddings, minimality and non-centred target.. - Cox And Hobson (Correct)
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Grandits, P. and N. Falkner (2000), `Embedding in Brownian motion with drift and the Azema-Yor construction', Stochastic Process. Appl. 85(2), 249-254.
The Skorokhod problem and its offspring - Obloj (2004) (Correct)
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P. Grandits and N. Falkner. Embedding in Brownian motion with drift and the Azema-Yor construction. Stochastic Process. Appl., 85(2):249--254, 2000.
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
No context found.
P. Grandits and N. Falkner. Embedding in Brownian motion with drift and the Azema-Yor construction. Stochastic Process. Appl., 85(2):249-254, 2000.
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