Processes that can be embedded in a geometric Brownian motion

DOI10.1137/S0040585X97T987594MaRDI QIDQ2811893zbMATHOpenAlexFDO

Authors A. A. Gushchin, Mikhail Urusov

Publication date 8 June 2016

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.1172

zbMATH Keywords

geometric Brownian motionSkorokhod embeddingminimal stopping timeMonroe's theorem

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: The main result is a counterpart of the theorem of Monroe [emph{Ann. Probability} extbf{6} (1978) 42--56] for a geometric Brownian motion: A process is equivalent to a time change of a geometric Brownian motion if and only if it is a nonnegative supermartingale. We also provide a link between our main result and Monroe [emph{Ann. Math. Statist.} extbf{43} (1972) 1293--1311]. This is based on the concept of a emph{minimal} stopping time, which is characterised in Monroe [emph{Ann. Math. Statist.} extbf{43} (1972) 1293--1311] and Cox and Hobson [emph{Probab. Theory Related Fields} extbf{135} (2006) 395--414] in the Brownian case. We finally suggest a sufficient condition for minimality (for the processes other than a Brownian motion) complementing the discussion in the aforementioned papers.

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