An explicit Skorokhod embedding for spectrally negative Levy processes

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 \{-\...

Bibliografske podrobnosti
Main Authors:	Obloj, J, Pistorius, M
Format:	Journal article
Jezik:	English
Izdano:	2007

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