Minimal embeddings of integrable processes in a Brownian motion

DOI10.1070/RM9908MaRDI QIDQ5220262zbMATH OpenOpenAlexFDO

Authors A. A. Gushchin, Mikhail Urusov

Publication date 11 March 2020

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm9908

zbMATH Keywords

Brownian motion

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Brownian motion (60J65)

Cites work

• Integrated quantile functions: properties and applications
• On Embedding Right Continuous Martingales in Brownian Motion
• Probability-2
• Processes that can be embedded in a geometric Brownian motion
• Skorokhod embeddings, minimality and non-centred target distributions

Cited in

(1)

• The joint law of a max-continuous local submartingale and its maximum

This page was built for publication: Minimal embeddings of integrable processes in a Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5220262)