Two explicit Skorokhod embeddings for simple symmetric random walk
Motivated by problems in behavioural finance, we provide two explicit constructions of a randomized stopping time which embeds a given centred distribution µ on integers into a simple symmetric random walk in a uniformly integrable manner. Our first construction has a simple Markovian structure: at...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
Elsevier
2018
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