Embedding laws in diffusions by functions of time

DOI10.1214/14-AOP941zbMath1335.60150arXiv1201.5321MaRDI QIDQ888534

Goran Peskir, Alexander Matthew Gordon Cox

Publication date: 30 October 2015

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.5321

zbMATH Keywords

weak convergenceBrownian motiondiffusion processMarkov processoptimal stopping timeSkorokhod embeddingLévy metricHelly's selection theoremreversed barrier

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (16)

From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ Global \(C^1\) regularity of the value function in optimal stopping problems ⋮ Integral equations for Rost's reversed barriers: existence and uniqueness results ⋮ A counterexample to the Cantelli conjecture through the Skorokhod embedding problem ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Optimal entry decision of unemployment insurance under partial information ⋮ Continuity of the optimal stopping boundary for two-dimensional diffusions ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Discretisation and duality of optimal Skorokhod embedding problems ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ Martingale Inequalities for the Maximum via Pathwise Arguments ⋮ Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs ⋮ A Dynkin Game on Assets with Incomplete Information on the Return ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon ⋮ Optimal transport and Skorokhod embedding

Cites Work

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