论文信息 - SKOROKHOD EMBEDDINGS IN BOUNDED TIME

SKOROKHOD EMBEDDINGS IN BOUNDED TIME

This article deals with the Skorokhod embedding problem in bounded time for the Brownian motion with drift Xt = κt + Wt: Given a probability measure μ we aim at finding a stopping time τ such that the law of Xτ is μ, and τ is almost surely smaller than some given fixed time horizon T > 0. We provide necessary and sufficient conditions on the distribution μ for the existence of such bounded stopping times.

Philipp Strack | Stefan Ankirchner | P. Strack | S. Ankirchner

[1] Richard F. Bass,et al. Stochastic Processes: Index , 2011 .

[2] R. Bass. Skorokhod imbedding via stochastic integrals , 1983 .

[3] Christian Seel,et al. Gambling in Dynamic Contests , 2009 .

[4] Jan Ob lój. The Skorokhod embedding problem and its offspring ∗ , 2004 .

[5] Jan Ob. The Skorokhod embedding problem and its ospring , 2004 .

[6] Feller William,et al. An Introduction To Probability Theory And Its Applications , 1950 .

[7] R. M. Loynes,et al. Studies In The Theory Of Random Processes , 1966 .

[8] J. Obłój. The Skorokhod embedding problem and its offspring , 2004, math/0401114.

[9] Richard F. Bass. Stochastic Processes , 2011 .

[10] P. Imkeller,et al. A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift , 2008 .

[11] William Feller,et al. An Introduction to Probability Theory and Its Applications , 1967 .