E. Perkins. The Cereteli-Davis solution to the H-embedding problem and an optimal embedding in Brownian motion. In Seminar on stochastic processes, 1985. Home/Search Document Not in Database Summary Related Articles Check |
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An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
....distribution for the shifted process now starting at m. However this cannot work if m is not well de ned and nite and even if m exists this construction may not share the optimality properties of the original embedding. Instead, to embed a general law we adapt an embedding which was proposed in [7]. For zero mean target laws the Perkins embedding has the property that it simultaneously maximises the distribution of the minimum, and minimises the distribution of the maximum, amongst the class of all the stopping times which embed . Our adaptation of the Perkins embedding extends to all ....
.... ( and ( are ( sup x 0 : c (x) 14) inf x 0 : c ; 15) 16) 17) As a result it is easy to see that, in the case where is centred, these quantities are identical to the quantities de ned in [7], where the quantity q ( de ned in [7] satis es ( q ( 1; Our rst Theorem shows that for any target measure there is an embedding which simultaneously stochastically maximises the distribution of the minimum, and minimises the distribution of the maximum. ....
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E. Perkins. The Cereteli-Davis solution to the H -embedding problem and an optimal embedding in Brownian motion. In Seminar on stochastic processes, 1985.
An Optimal Skorokhod Embedding for Di usions A.M.G. Cox - And Hobson Department (Correct)
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E. Perkins. The Cereteli-Davis solution to the H-embedding problem and an optimal embedding in Brownian motion. In Seminar on stochastic processes, 1985.
The Skorokhod problem and its offspring - Obloj (2004) (Correct)
No context found.
E. Perkins. The Cereteli-Davis solution to the H -embedding problem and an optimal embedding in Brownian motion. In Seminar on stochastic processes, 1985.
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
No context found.
E. Perkins. The Cereteli-Davis solution to the H -embedding problem and an optimal embedding in Brownian motion. In Seminar on stochastic processes, 1985.
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