Embedding in Brownian motion with drift and the Azéma-Yor construction
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Publication:1613593
DOI10.1016/S0304-4149(99)00077-0zbMath0997.60080OpenAlexW2066924775MaRDI QIDQ1613593
Publication date: 29 August 2002
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00077-0
Related Items (5)
A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT ⋮ An optimal Skorokhod embedding for diffusions ⋮ The Azéma-Yor embedding in non-singular diffusions. ⋮ Skorokhod embeddings, minimality and non-centred target distributions ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion
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