On an explicit Skorokhod embedding for spectrally negative Lévy processes
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Publication:1028617
DOI10.1007/s10959-008-0157-7zbMath1166.60028arXivmath/0703597OpenAlexW1973949000MaRDI QIDQ1028617
Jan Obłój, Martijn R. Pistorius
Publication date: 6 July 2009
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703597
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
Related Items
Occupation times of spectrally negative Lévy processes with applications ⋮ On Skorokhod embeddings and Poisson equations
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