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Skorokhod Embeddings In Bounded Time Stefan Ankirchner
 

Summary: Skorokhod Embeddings In Bounded Time
Stefan Ankirchner
Institute for Applied Mathematics
University of Bonn
Endenicher Allee 60
D-53115 Bonn
ankirchner@hcm.uni-bonn.de
Philipp Strack
Bonn Graduate School of Economics
University of Bonn
Lenn“estr. 43
D-53115 Bonn
philipp.strack@uni-bonn.de
February 5, 2011
Abstract
This article deals with the Skorokhod embedding problem in bounded
time for the Brownian motion with drift Xt = t+Wt: Given a probability
measure µ we aim at finding a stopping time such that the law of X
is µ, and is almost surely smaller than some given fixed time horizon
T > 0. We provide necessary and sufficient conditions on the distribution

  

Source: Ankirchner, Stefan - Institut für Angewandte Mathematik, Universität Bonn

 

Collections: Mathematics