Time-Homogeneous Diffusions with a Given Marginal at a Random Time
We solve explicitly the following problem: for a given probability measure mu, we specify a generalised martingale diffusion X which, stopped at an independent exponential time T, is distributed according to mu. The process X is specified via its speed measure m. We present three proofs. First we sh...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2009
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