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Abstract: Given a Brownian motion (B t ) t0 and a general target law (not necessarily centred or even in L ) we show how to construct an embedding of in B. This embedding is an extension of an embedding due to Perkins, and is optimal in the sense that it simultaneously minimises the distribution of the maximum and maximises the distribution of the minimum among all embeddings of . The embedding is then applied to regular di usions, and used to characterise the target laws for which a... (Update)
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BibTeX entry: (Update)
@misc{ department-optimal,
author = "And Hobson Department",
title = "An Optimal Skorokhod Embedding for Di usions A.M.G. Cox",
url = "citeseer.ist.psu.edu/765083.html" }
Citations (may not include all citations):35 Cambridge University Press (context) - Rogers, Williams et al. - 2000
14 The stopping distributions of a Markov Process (context) - Rost - 1971
11 Une solution simple au probleme de Skorokhod (context) - Az, Yor - 1977
11 One-dimensional potential embedding (context) - Chacon, Walsh - 1974
6 The existence of certain stopping times on Brownian motion (context) - Root - 1969
5 Embedding in Brownian motion with drift and the Azema-Yor c.. (context) - Grandits, Falkner - 2000
5 a theorem of Skorohod (context) - Dubins - 2094
4 Skorokhod stopping times of minimal variance (context) - Rost - 1974
4 Translated from the Russian by Scripta Technica (context) - Skorokhod, the et al. - 1965
4 The Cereteli-Davis solution to the H-embedding problem and a.. (context) - Perkins - 1985
3 ema-Yor embedding in non-singular di usions (context) - Pedersen, Peskir - 2001
3 es avec le temps local en zero du mouvement brownien (context) - Vallois, egalit - 1992
3 Upper and lower spacetime envelopes for oscillating random w.. - Hambly, Kersting et al. - 2002
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