The Skorokhod embedding problem and its offspring.

Obłój, Jan

Probability Surveys [electronic only] (2004)

  • Volume: 1, page 321-392
  • ISSN: 1549-5787

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Obłój, Jan. "The Skorokhod embedding problem and its offspring.." Probability Surveys [electronic only] 1 (2004): 321-392. <http://eudml.org/doc/229830>.

@article{Obłój2004,
author = {Obłój, Jan},
journal = {Probability Surveys [electronic only]},
keywords = {Skorokhod embedding problem; Chacon-Walsh embedding; Azéma-Yor embedding; root embedding; stopping times; optimal stopping; one-dimensional potential theory},
language = {eng},
pages = {321-392},
publisher = {Sponsored by Institute of Mathematical Statistics and by the Bernoulli Society},
title = {The Skorokhod embedding problem and its offspring.},
url = {http://eudml.org/doc/229830},
volume = {1},
year = {2004},
}

TY - JOUR
AU - Obłój, Jan
TI - The Skorokhod embedding problem and its offspring.
JO - Probability Surveys [electronic only]
PY - 2004
PB - Sponsored by Institute of Mathematical Statistics and by the Bernoulli Society
VL - 1
SP - 321
EP - 392
LA - eng
KW - Skorokhod embedding problem; Chacon-Walsh embedding; Azéma-Yor embedding; root embedding; stopping times; optimal stopping; one-dimensional potential theory
UR - http://eudml.org/doc/229830
ER -

Citations in EuDML Documents

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  1. Alexander M. G. Cox, David Hobson, Jan Obłój, Time-homogeneous diffusions with a given marginal at a random time
  2. Alexander M.G. Cox, David Hobson, Jan Obłój, Time-homogeneous diffusions with a given marginal at a random time
  3. Frank Aurzada, Steffen Dereich, Universality of the asymptotics of the one-sided exit problem for integrated processes
  4. Kouji Yano, Yuko Yano, Marc Yor, Penalisation of a stable Lévy process involving its one-sided supremum
  5. Yuko Yano, A remarkable σ -finite measure unifying supremum penalisations for a stable Lévy process

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