An explicit Skorokhod embedding for functionals of Markovian excursions
We develop an explicit non-randomized solution to the Skorokhod embedding problem in an abstract setup of signed functionals of Markovian excursions. Our setting allows to solve the Skorokhod embedding problem, in particular, for diffusions and their (signed, scaled) age processes, for Azema's...
| Autor principal: | |
|---|---|
| Formato: | Journal article |
| Publicado em: |
2016
|