A. V. Skorokhod. Studies in the theory of random processes. Translated from the Russian by Scripta Technica, Inc. Addison-Wesley Publishing Co., Inc., Reading, Mass., 1965. Home/Search Document Not in Database Summary Related Articles Check |
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An Optimal Skorokhod Embedding for Di usions A.M.G. Cox - And Hobson Department Self-citation (Skorokhod) (Correct)
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A. V. Skorokhod. Studies in the theory of random processes. Translated from the Russian by Scripta Technica, Inc. Addison-Wesley Publishing Co., Inc., Reading, Mass., 1965.
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) Self-citation (Skorokhod) (Correct)
No context found.
A. V. Skorokhod. Studies in the theory of random processes. Translated from the Russian by Scripta Technica, Inc. Addison-Wesley Publishing Co., Inc., Reading, Mass., 1965.
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) Self-citation (Skorokhod) (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 ....
A. V. Skorokhod. Studies in the theory of random processes. Translated from the Russian by Scripta Technica, Inc. Addison-Wesley Publishing Co., Inc., Reading, Mass., 1965.
The Skorokhod problem and its offspring - Obloj (2004) (Correct)
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A. V. Skorokhod. Studies in the theory of random processes. Translated from the Russian by Scripta Technica, Inc. Addison-Wesley Publishing Co., Inc., Reading, Mass., 1965.
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