An Optimal Skorokhod Embedding for Diffusions

Details An Optimal Skorokhod Embedding for Diffusions An Optimal Skorokhod Embedding for Diffusions

2002-12-12

arxiv.org/abs/math/0212174v1

Mathematics

Probability

22 pages, 4 figures

Scientific paper

Given a Brownian motion $B_t$ and a general target law $\mu$ (not necessarily centered or even integrable) we show how to construct an embedding of $\mu$ 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 $\mu$. The embedding is then applied to regular diffusions, and used to characterise the target laws for which a $H^p$-embedding may be found.

Affiliated with

Also associated with

No associations

Rating

An Optimal Skorokhod Embedding for Diffusions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with An Optimal Skorokhod Embedding for Diffusions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and An Optimal Skorokhod Embedding for Diffusions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-404504