P. Vallois. Quelques inegalites avec le temps local en zero du mouvement brownien. Stochastic Process. Appl., 41(1):117-155, 1992. 21  Home/Search Document Not in Database Summary Related Articles Check |
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An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
.... 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 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 ....
P. Vallois. Quelques inegalites avec le temps local en zero du mouvement brownien. Stochastic Process. Appl., 41(1):117-155, 1992. 21
An Optimal Skorokhod Embedding for Di usions A.M.G. Cox - And Hobson Department (Correct)
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P. Vallois. Quelques inegalites avec le temps local en zero du mouvement brownien. Stochastic Process. Appl., 41(1):117-155, 1992. 21
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
No context found.
P. Vallois. Quelques inegalites avec le temps local en zero du mouvement brownien. Stochastic Process. Appl., 41(1):117-155, 1992. 21
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