An optimal Skorokhod embedding for diffusions

Stochastic Processes and their Applications

Volumn 111, Issue 1, 2004, Pages 17-39

  Cox, A M G ^a   Hobson, D G ^a  

^a University of Bath   (United Kingdom)

Author keywords

Brownian motion; Diffusion; Embedding; Hp embedding; Skorokhod problem; Stopping time

Indexed keywords

EID: 1642542012     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.01.003     Document Type: Article

References (18)

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