An explicit Skorokhod embedding for spectrally negative Levy processes
We present an explicit solution to the Skorokhod embedding problem for spectrally negative L\'evy processes. Given a process $X$ and a target measure $\mu$ satisfying an explicit admissibility condition we define functions $\f_\pm$ such that the stopping time $T = \inf\{t>0: X_t \in \{-\...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2007
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