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ArticleAn optimal Skorokhod embedding for diffusions

Alexander M. G. Cox2004

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Articlebronze2004

An optimal Skorokhod embedding for diffusions

Alexander M. G. Cox · David G. Hobson

20 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Geometric Analysis and Curvature Flows

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References

1999Continuous Martingales and Brownian Motion 1986The Cereteli-Davis Solution to the H1-Embedding Problem and an Optimal Embedding in Brownian Motion 1976Skorokhod stopping times of minimal variance 2000INTRODUCTION TO ITÔ CALCULUS 2001The Azéma–Yor embedding in non-singular diffusions 1988Doob's inequalities revisited: A maximal H1-embedding

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2007Optimal stopping of the maximum process: a converse to the results of Peskir

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2007Optimal stopping of the maximum process: a converse to the results of Peskirarticle · 3 shared references 2002The minimum maximum of a continuous martingale with given initial and terminal lawsarticle · 2 shared references 2005Skorokhod embeddings, minimality and non-centred target distributionsarticle · 2 shared references 2007Modelling Dependence for Credit Derivatives with Copulaspreprint · 2 shared references 2001The Azéma–Yor embedding in non-singular diffusionsarticle · 2 shared references 2008Extending Chacon-Walsh: Minimality and Generalised Starting Distributionschapter · 2 shared references

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Year2004

Typearticle

Published2004-03-06

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2004.01.003

openalex_workW2086950044

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