Skorokhod Embedding by Randomized Hitting Times

DOI10.1007/978-1-4684-0562-0_8MaRDI QIDQ3972793zbMATH OpenOpenAlexFDO

Authors Patrick J. Fitzsimmons

Publication date 26 June 1992

Published in Seminar on Stochastic Processes, 1990 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4684-0562-0_8

zbMATH Keywords

randomized hitting timeright Markov processSkorokhod embedding problemstopping timestrong Markov process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on general state spaces (60J25) Probabilistic potential theory (60J45)

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Cited in

(12)

• Shrinkage estimators, Skorokhod's problem and stochastic integration by parts
• Two explicit Skorokhod embeddings for simple symmetric random walk
• Ordered Skorokhod stopping for a sequence of measures
• Stopping with expectation constraints: 3 points suffice
• On ordered stopping times of a Markov process
• Jensen measures and harmonic measures
• Skorokhod embeddings for two-sided Markov chains
• Extending Chacon-Walsh: minimality and generalised starting distributions
• Embedding of random vectors into continuous martingales
• Stopping distributions for right processes
• Convexity properties of harmonic measures
• The Skorokhod embedding problem and its offspring

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