Duality methods for barrier-type solutions to the Skorokhod embedding problem
The Skorokhod embedding problem is to find a stopping time of a Brownian motion, W, for which the stopped process has a given distribution. The Root, Rost, and cave embedding solutions to the problem can be seen as the first hitting time for (Wt,t) of regions known as barriers, inverse barriers, and...
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University of Bath
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.761046 |