Processes That Can Be Embedded in a Geometric Brownian Motion

DOI10.1137/S0040585X97T987594zbMath1341.60101arXiv1310.1172OpenAlexW2963067341MaRDI QIDQ2811893

Alexander A. Gushchin, Mikhail A. Urusov

Publication date: 8 June 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1172

zbMATH Keywords

geometric Brownian motionSkorokhod embeddingminimal stopping timeMonroe's theorem

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

Integrated quantile functions: properties and applications ⋮ The Joint Law of a Max-Continuous Local Submartingale and Its Maximum ⋮ Minimal embeddings of integrable processes in a Brownian motion

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