The stopping distributions of a Markov process
From MaRDI portal
Publication:2548820
DOI10.1007/BF01418740zbMath0225.60025MaRDI QIDQ2548820
Publication date: 1971
Published in: Inventiones Mathematicae (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/142102
Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45)
Related Items (58)
The minimum maximum of a continuous martingale with given initial and terminal laws ⋮ On regularity of superprocesses ⋮ Structural properties of randomized times ⋮ Markov processes with identical hitting probabilities ⋮ From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ Explicit optimal value for Dynkin's stopping game ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ Integral equations for Rost's reversed barriers: existence and uniqueness results ⋮ Construction and regularity of measure-valued Markov branching processes ⋮ An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ Unnamed Item ⋮ A counterexample to the Cantelli conjecture through the Skorokhod embedding problem ⋮ Embedding laws in diffusions by functions of time ⋮ Shadows and barriers ⋮ Backward and forward Wasserstein projections in stochastic order ⋮ Minimal subharmonic functions and related integral representations ⋮ Root's barrier: construction, optimality and applications to variance options ⋮ Convex inequalities in stochastic control ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions ⋮ Mixing times for uniformly ergodic Markov chains ⋮ Convexity properties of harmonic measures ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Sur un problème de dynkin ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4104688 Dualit� convexe, temps d'arr�t optimal et contr�le stochastique] ⋮ The Two-Sided Stefan Problem with a Spatially Dependent Latent Heat ⋮ Temps d'arrÊt optimal, théorie générale des processus et processus de Markov ⋮ ContrÔle stochastique, jeux et temps d'arrÊt: Applications de la théorie probabiliste du potentiel ⋮ Birth delay of a Markov process and the stopping distributions for regular processes ⋮ Discretisation and duality of optimal Skorokhod embedding problems ⋮ Coulomb systems on Riemannian manifolds and stability of matter ⋮ An optimal Skorokhod embedding for diffusions ⋮ The Azéma-Yor embedding in non-singular diffusions. ⋮ Skorokhod embeddings, minimality and non-centred target distributions ⋮ Embedding of Walsh Brownian motion ⋮ From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4162232 Contr�le de processus alternants et applications] ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ Patterns in Random Walks and Brownian Motion ⋮ The inverse balayage problem for Markov chains ⋮ A solution to the Monge transport problem for Brownian martingales ⋮ Minimal Root's embeddings for general starting and target distributions ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4176251 Un probl�me de contr�le stochastique avec observation partielle] ⋮ Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs ⋮ Optimal stopping of stochastic transport minimizing submartingale costs ⋮ Shrinkage estimators, Skorokhod's problem and stochastic integration by parts ⋮ On an explicit Skorokhod embedding for spectrally negative Lévy processes ⋮ Homogeneous Random Measures and a Weak Order for the Excessive Measures of a Markov Process ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ On Skorokhod embeddings and Poisson equations ⋮ Monotonicity properties of regenerative sets and Lorden's inequality ⋮ Stopped distributions for Markov processes in duality ⋮ Stopping distributions for right processes ⋮ Gambling in contests with random initial law ⋮ Riesz decompositions and subtractivity for excessive measures. ⋮ Optimal transport and Skorokhod embedding
Cites Work
This page was built for publication: The stopping distributions of a Markov process
