SKOROKHOD EMBEDDINGS IN BOUNDED TIME
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Publication:3173984
DOI10.1142/S0219493711003255zbMATH Open1241.60021MaRDI QIDQ3173984FDOQ3173984
Philipp Strack, Stefan Ankirchner
Publication date: 11 October 2011
Published in: Stochastics and Dynamics (Search for Journal in Brave)
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Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)
Cites Work
Cited In (19)
- Title not available (Why is that?)
- Processes that can be embedded in a geometric Brownian motion
- A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
- Continuous Time Contests with Private Information
- Embedding in Brownian motion with drift and the Azéma-Yor construction
- On independent times and positions for Brownian motions.
- Optimal stopping under model uncertainty: randomized stopping times approach
- Skorokhod embeddings, minimality and non-centred target distributions
- A solution to Skorokhod's embedding for linear Brownian motion and its local time
- An explicit representation of the extended Skorokhod map with two time-dependent boundaries
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
- Model-independent pricing with insider information: a skorokhod embedding approach
- A counterexample to the Cantelli conjecture through the Skorokhod embedding problem
- Skorokhod Embedding by Randomized Hitting Times
- Title not available (Why is that?)
- The Skorokhod embedding problem for inhomogeneous diffusions
- Finite, integrable and bounded time embeddings for diffusions
- An integral equation for Root's barrier and the generation of Brownian increments
- On the continuity of the root barrier
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