The Generalized Shiryaev's Problem and Skorohod Embedding

Details The Generalized Shiryaev's Problem and Skorohod Embedding The Generalized Shiryaev's Problem and Skorohod Embedding

2011-10-30

arxiv.org/abs/1110.6664v1

Mathematics

Probability

19 pages, 1 figure; To Appear: Theory of Probability and its Applications

Scientific paper

In this paper we consider a connection between the famous Skorohod embedding problem and the Shiryaev inverse problem for the first hitting time distribution of a Brownian motion: given a probability distribution, $F$, find a boundary such that the first hitting time distribution is $F$. By randomizing the initial state of the process we show that the inverse problem becomes analytically tractable. The randomization of the initial state allows us to significantly extend the class of target distributions in the case of a linear boundary and moreover allows us to establish connection with the Skorohod embedding problem.

Affiliated with

Also associated with

No associations

Rating

The Generalized Shiryaev's Problem and Skorohod Embedding 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 The Generalized Shiryaev's Problem and Skorohod Embedding, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The Generalized Shiryaev's Problem and Skorohod Embedding will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-146878