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Finite, integrable and bounded time embeddings for diffusions

BERNOULLI, no. 2 (2015): 1067-1088

Cited by: 20|Views4

Abstract

We solve the Skorokhod embedding problem (SEP) for a general time-homogeneous diffusion X: given a distribution rho, we construct a stopping time tau such that the stopped process X-tau has the distribution rho. Our solution method makes use of martingale representations (in a similar way to bass (In Seminar on Probability XVII. Lecture N...More

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