SKOROKHOD EMBEDDINGS IN BOUNDED TIME
SKOROKHOD EMBEDDINGS IN BOUNDED TIME
复制标题
有限时间内的 Skorokhod 嵌入
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
P. Strack
中科院分区：
文献类型：
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作者：
S. Ankirchner;P. Strack
本文研究了漂移布朗运动Xt = κt + Wt在有界时间内的Skorokhod嵌入问题：给定一个概率测度μ，我们的目标是找到一个停时τ，使得Xτ的律为μ，且τ几乎必然小于某个给定的固定时间范围T > 0.我们给出了分布μ存在有界停时的充分必要条件。
This article deals with the Skorokhod embedding problem in bounded time for the Brownian motion with drift Xt = κt + Wt: Given a probability measure μ we aim at finding a stopping time τ such that the law of Xτ is μ, and τ is almost surely smaller than some given fixed time horizon T > 0. We provide necessary and sufficient conditions on the distribution μ for the existence of such bounded stopping times.