Embedding in Brownian motion with drift and the Azema-Yor construction

被引：7

作者：

Grandits, P

Falkner, N

机构：

[1] Univ Cambridge, Stat Lab, Cambridge CB2 1SB, England

[2] Ohio State Univ, Dept Math, Columbus, OH 43210 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2000年 / 85卷 / 02期

关键词：

Skorohod embedding problem; Azema-Yor stopping time;

D O I：

10.1016/S0304-4149(99)00077-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the embedding of a probability distribution in Brownian motion with drift. We first give a sufficient condition on the target measure, under which a variant of the Azema-Yor (1979a, Seminaire de Probabilites XIII, Lecture Notes in Mathematics, Vol. 721, Springer, Berlin, pp. 90-115) construction for this problem works. A necessary and sufficient condition for embeddability by means of some stopping time, not necessarily finite, is also provided. This latter condition is then analyzed in some detail. (C) 2000 Published by Elsevier Science B.V. All rights reserved.

引用

页码：249 / 254

页数：6

共 8 条

[1]

[Anonymous], LECT NOTES MATH

[2]

[Anonymous], 1979, SEMPROBA 13

[3] POTENTIALS OF STOPPED DISTRIBUTIONS [J].