{"entities":{"Q4524744":{"pageid":6554336,"ns":120,"title":"Item:Q4524744","lastrevid":108676802,"modified":"2026-11-09T18:55:26Z","type":"item","id":"Q4524744","labels":{"en":{"language":"en","value":"The Az\u00e9ma-Yor embedding in Brownian motion with drift"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 1552488"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q4524744$EA2EEA02-5B00-4AC8-84E7-E698906B34B2","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"c32eea75fa5ecc7ccc5d23ea355789aac51a1599","datavalue":{"value":"0967.60046","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q4524744$87CECEF2-9772-4327-8944-4989B5AD6A58","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"2522d3daa9276dd6212f9f0a10c465651f9d2466","datavalue":{"value":{"entity-type":"item","numeric-id":221882,"id":"Q221882"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q4524744$D26A1C11-9340-4FD9-A0F6-1C0F55E469C2","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"88f8905e4c406ee61fe075e90ed5b7d6fc080143","datavalue":{"value":{"time":"+2001-08-30T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q4524744$8BA008EC-C53A-4E47-8385-3AA4E640ED96","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"96985b9b4d60c0f935f371b2243a7deeef976496","datavalue":{"value":"60G40","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q4524744$6DD9DF8F-BDDB-49C2-A63D-D285CDF2E395","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"3b27a9dd329983c5b25a374d752bed299934c73d","datavalue":{"value":"60J65","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q4524744$AD5D93F8-8F52-4D71-A717-3053D3F1EF93","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"00fe35d72dbf164ff0ac6461e80363f0b55c9242","datavalue":{"value":"1552488","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q4524744$6FBF9D0E-BA66-47B8-8E3A-2C8EA21BE1CC","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"1720d856e282acff851b8e048a004985eb77ae74","datavalue":{"value":"Skorokhod embedding problem","type":"string"},"datatype":"string"},"type":"statement","id":"Q4524744$29DA1C58-1543-411C-9CC5-71D5FF42D5CF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e8614bf31aab7a804d40f47fee75a9a8059d4af5","datavalue":{"value":"Brownian motion","type":"string"},"datatype":"string"},"type":"statement","id":"Q4524744$01884890-709F-46B7-99B0-0A2BD72180A3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b43b32761722fd02213211edf1f2036e59ed779b","datavalue":{"value":"stopping time","type":"string"},"datatype":"string"},"type":"statement","id":"Q4524744$034ABA9D-3C6E-4F28-82DE-F931438A870B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"fdce686a0030fc4fdb526398449cc3dedf97d79c","datavalue":{"value":"Az\u00e9ma-Yor embedding","type":"string"},"datatype":"string"},"type":"statement","id":"Q4524744$5DD7778C-F359-49F3-A167-C924058CED8A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"12a6447b8a6097d5b455e3d90708842c03d79708","datavalue":{"value":"non-recurrent diffusions","type":"string"},"datatype":"string"},"type":"statement","id":"Q4524744$03637467-86FD-4F31-83DF-DB32F8B407B0","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q4524744$21C6515E-45B0-46DE-AAC9-95E3861FE0ED","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a6020ecd0ec20807d4d27b56921b158d0d29326b","datavalue":{"value":{"entity-type":"item","numeric-id":1613593,"id":"Q1613593"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"9d88231afef54e7c7d1190b96a87c5035eb17917","datavalue":{"value":{"amount":"+0.8804599642753601","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q4524744$44242E46-30DD-47E0-B231-D952F9A9278C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"fb641caf2e4be391143c6d1b7cba5124f97c9996","datavalue":{"value":{"entity-type":"item","numeric-id":3747444,"id":"Q3747444"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e647cb80946ab346f8b5a6d86b354eb297378b0c","datavalue":{"value":{"amount":"+0.8733227849006653","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q4524744$97C8359C-7F3B-4CE8-ABA6-89E87E893106","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"aa3b94bb4133b87baac847f999b5f71528adcf51","datavalue":{"value":{"entity-type":"item","numeric-id":3173984,"id":"Q3173984"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"70a121750b014cafad14215bf9494c7136fe1e10","datavalue":{"value":{"amount":"+0.8451283574104309","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q4524744$BE0C23A0-6F3A-4134-AF17-375CAD88FA39","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c0ec070ae2186c9a1c0aac2644415629111a6d12","datavalue":{"value":{"entity-type":"item","numeric-id":3746623,"id":"Q3746623"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3d984279a26aee1efe8509be60e3c59e0ee05655","datavalue":{"value":{"amount":"+0.8379731774330139","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q4524744$152C2E72-1396-445C-A0BC-553A2FB4E76E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"03e9487c25c912ce7e8be7c151582f6d6dc75ac6","datavalue":{"value":{"entity-type":"item","numeric-id":1766021,"id":"Q1766021"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ea61a10cdeac44653b82beeed0ed321253a87454","datavalue":{"value":{"amount":"+0.8329368233680725","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q4524744$A0D0ADCF-45D7-47CF-81C8-9970C481A3E0","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"5f3448e014ccdb8d7cb7c621ed20f889c509aba0","datavalue":{"value":{"text":"The Az\u00e9ma-Yor embedding in Brownian motion with drift","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q4524744$20BD0FD6-942D-4129-83D7-41DBF46B36A7","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"8960b3538053b37d9ad1792d4aaceaac1df68f4f","datavalue":{"value":"Let \\(B=(B_t)_{t\\geq 0}\\) be a standard Brownian motion starting at zero, let \\(\\mu >0\\) be given and fixed, and let \\(\\nu\\) be a probability measure on \\(R\\) having a strictly positive density \\(F'\\). The main aim of this paper is to prove that there exists a stopping time \\(\\tau_*\\) of \\(B\\) such that \\((B_{\\tau_*}+\\mu\\tau_*) \\sim\\nu\\) if and only if the following condition is satisfied: \\(D_\\mu: =\\int_R \\exp (-2\\mu x)\\nu (dx)\\leq 1\\). The author proves that if \\(C_\\mu=- (2\\mu)^{-1}\\log (D_\\mu)\\), then the following explicit formula is valid: \\[ \\tau_*= \\inf\\Biggl \\{t >0 \\biggl|(B_t +\\mu t)\\leq h_\\mu \\Bigl(\\max_{0 \\leq r\\leq t}(B_r+\\mu r)\\Bigr) \\Biggr\\}, \\] where the map \\(s\\to h_\\mu (s)\\) for \\(s>C_\\mu\\) is expressed through its inverse by \\[ h_\\mu^{-1}(x)= -{1\\over 2\\mu} \\log\\left( {1\\over 1-F(x)} \\int^\\infty_x \\exp(-2 \\mu t)dF(t) \\right), \\quad x\\in R, \\] and \\(h_\\mu(s) =-\\infty\\) for \\(s\\leq C_\\mu\\). In addition, the author proves that \\(\\tau_*\\) is pointwise the smallest possible stopping time satisfying \\((B_{\\tau_*} +\\mu \\tau_*) \\sim\\nu\\) which generates stochastically the largest possible maximum of the process \\((B_t+ \\mu t)_{t\\geq 0}\\) up to the time of stopping. This minimax property characterizes \\(\\tau_*\\) uniquely. For the entire collection see [Zbl 0948.00040].","type":"string"},"datatype":"string"},"type":"statement","id":"Q4524744$DEB9E27F-B17F-47F2-A601-3C8754553AB9","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"The Az\u00e9ma-Yor embedding in Brownian motion with drift","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/The_Az%C3%A9ma-Yor_embedding_in_Brownian_motion_with_drift"}}}}}