The distribution of Brownian motion in R^ n at a natural stopping time

DOI10.1016/0001-8708(81)90059-1MaRDI QIDQ1156430zbMATH OpenOpenAlexFDO

Authors Neil Falkner

Publication date 1981

Published in Advances in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0001-8708(81)90059-1

zbMATH Keywords

Green's kernelnatural stopping timerandomized stopping timeSkorohod embedding

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45) Brownian motion (60J65)

Cites work

• Die Stoppverteilungen eines Markoff-Prozesses mit lokalendlichem Potential
• Erratum to Ëmbedding Processes in Brownian Motion in R n "
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• On a Theorem of Skorohod
• On Embedding Right Continuous Martingales in Brownian Motion
• Potential Processes
• Potential theory for infinitely divisible processes on Abelian groups
• Potentials of stopped distributions
• The Existence of Certain Stopping Times on Brownian Motion

Cited in

(5)

• Structure of optimal martingale transport plans in general dimensions
• A free boundary characterisation of the root barrier for Markov processes
• Optimal transport and Skorokhod embedding
• Stopped distributions for Markov processes in duality
• Stopping distributions for right processes

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