Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding
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| Creator |
Roynette, B.
Vallois, P. Yor, M. |
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| Description |
We develop a Brownian penalisation procedure related to weight processes (Ft) of the type: Ft := f(It, St) where f is a bounded function with compact support and St (resp. It) is the one-sided maximum (resp. minimum) of the Brownian motion up to time t. Two main cases are treated: either Ft is the indicator function of {It ≥ α, St ≤ β} or Ft is null when {St − It > c} for some c > 0. Then we apply these results to some kind of asymptotic Skorokhod embedding problem.
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| Date |
2009-12-03T16:41:41Z
2009-12-03T16:41:41Z 2008 |
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| Type |
Article
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| Identifier |
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding / B. Roynette, P. Vallois, M. Yor // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 116–138. — Бібліогр.: 25 назв.— англ.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4558 519.21 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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