The Azéma-Yor embedding in non-singular diffusions.
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Publication:1766021
DOI10.1016/S0304-4149(01)00120-XzbMath1059.60058MaRDI QIDQ1766021
Goran Peskir, Jesper Lund Pedersen
Publication date: 25 February 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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An optimal Skorokhod embedding for diffusions, Skorokhod embeddings, minimality and non-centred target distributions, Optimal stopping of the maximum process: a converse to the results of Peskir
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