H. Rost. The stopping distributions of a Markov Process. Invent. Math., 14:1-16, 1971. Home/Search Document Not in Database Summary Related Articles Check |
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An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
....a probability measure on I . Given X and , the Skorokhod embedding problem is to nd a stopping time with the property that X T . For a general stochastic process X , and an arbitrary measure , necessary and sucient conditions for the existence of a solution 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 ....
H. Rost. The stopping distributions of a Markov Process. Invent. Math., 14:1-16, 1971.
Reversible Markov Chains and Random Walks on Graphs-Chapter 9: .. - Aldous, Fill (1995) (Correct)
.... duality theory. The special case of random walks on groups had previously been studied in Aldous Diaconis [4, 5] and the idea is implicit in the regenerative approach to time asymptotics for general state space chains, discussed at xxx. The theory surrounding Theorem 4 goes back to Rost [34]. This is normally regarded as part of the potential theory of 24 Markov chains, which emphasizes analogous results in the transient setting, and the recurrent case is rather a sideline in that setting. See Revuz [32] sec. 2.5 or Dellacherie Meyer [14] Chapter 9 sec. 3 for textbook treatments ....
H. Rost. The stopping distributions of a Markov process. Inventiones Math., 14:1-16, 1971.
A Second Look at General Markov Chains - Aldous, Fill (1995) (Correct)
.... duality theory. The special case of random walks on groups had previously been studied in Aldous Diaconis [4, 5] and the idea is implicit in the regenerative approach to time asymptotics for general state space chains, discussed at xxx. The theory surrounding Theorem 4 goes back to Rost [34]. This is normally regarded as part of the potential theory of 24 Markov chains, which emphasizes analogous results in the transient setting, and the recurrent case is rather a sideline in that setting. See Revuz [32] sec. 2.5 or Dellacherie Meyer [14] Chapter 9 sec. 3 for textbook treatments ....
H. Rost. The stopping distributions of a Markov process. Inventiones Math., 14:1--16, 1971.
Robust Hedging of the Lookback Option - Hobson (1998) (1 citation) (Correct)
....finishes in the money, buying a unit of the underlying asset at time T 1 and holding it until T 2 . Thus (10) is a very natural condition. Moreover (10) is a necessary condition for call prices to be consistent with martingale pricing. This is a corollary of the following result: Lemma 4. 3 (Rost [19]) Suppose and ae are probability measures on R with unit mean. Then there is a martingale M with initial law and terminal law ae if and only if E(X Gamma k) E(X ae Gamma k) 8k where X and X ae are random variables with the laws and ae respectively. The first step in finding bounds ....
Rost, H.; The stopping distributions of a Markov process, Inventiones Math., 14, 1--16, 1971.
Mixing Times for Uniformly Ergodic Markov Chains - Aldous, Lovász, Winkler (1 citation) (Correct)
....mathematical results We set the stage by first quoting one standard theorem from each of the three areas mentioned initially. None of these theorems is recent. Theorem A, in explicit form, is due to Baxter and Chacon [3] in 1976, though seems implicit in earlier work of Dinges [12] and Rost [30] (see also Pitman [27] extensions can be found in Revuz [28] and finite state applications in Lov asz and Winkler [20] Theorem B is part of Theorem 16.0.2 of [23] who describe its history, tracing the various parts of the cycle of equivalences to dates between 1941 and 1980. Theorem C is from ....
H. Rost. The stopping distributions of a Markov process. Inventiones Math., 14:1--16, 1971.
An Optimal Skorokhod Embedding for Di usions A.M.G. Cox - And Hobson Department (Correct)
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H. Rost. The stopping distributions of a Markov Process. Invent. Math., 14:1-16, 1971.
Robust Hedging of the Lookback Option - David Hobson School (Correct)
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Rost, H.; The stopping distributions of a Markov process, Inventiones Math., 14, 1--16, 1971.
The Range of Traded Option Prices - Mark Davis Imperial (Correct)
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Rost, H., 1971. The stopping distributions of a Markov process. Invent. Math. 14, 1--16.
The Skorokhod problem and its offspring - Obloj (2004) (Correct)
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H. Rost. The stopping distributions of a Markov Process. Invent. Math., 14:1--16, 1971.
An Optimal Skorokhod Embedding for Diffusions - Cox, Hobson (2002) (Correct)
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H. Rost. The stopping distributions of a Markov Process. Invent. Math., 14:1{ 16, 1971.
The Minimum Maximum of a Continuous Martingale with Given.. - Hobson, Pedersen (2002) (1 citation) (Correct)
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Rost, H. (1971). The stopping distributions of a Markov process. Invent. Math. 14 (1-16).
The Minimum Maximum of a Continuous Martingale with Given.. - Hobson, Pedersen (2000) (1 citation) (Correct)
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Rost, H.; The stopping distributions of a Markov process, Inventions Math., 14, 1-16, 1971.
General Markov Chains - Aldous, Fill (1999) (Correct)
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H. Rost. The stopping distributions of a Markov process. Inventiones Math., 14:1--16, 1971.
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