Time-Homogeneous Diffusions with a Given Marginal at a Random Time

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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Cox, A, Hobson, D, Obloj, J
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	2009

Míreanna comhchosúla

Time-Homogeneous Diffusion with a given marginal subordinated by different time changes
de réir: liu, q
Foilsithe / Cruthaithe: (2011)

The maximum maximum of a martingale with given n marginals
de réir: Henry-Labordere, P, et al.
Foilsithe / Cruthaithe: (2012)

Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
de réir: Cox, A, et al.
Foilsithe / Cruthaithe: (2007)

The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
de réir: Cox, A, et al.
Foilsithe / Cruthaithe: (2018)

The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
de réir: Cox, A, et al.
Foilsithe / Cruthaithe: (2015)

Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values
de réir: Hobson, D, et al.
Foilsithe / Cruthaithe: (2010)

The Wronskian parameterizes the class of diffusions with a given distribution at a random time
de réir: Klimmek, M
Foilsithe / Cruthaithe: (2012)

Infinite-time concentration in aggregation-diffuse equations with a given potential
de réir: Carrillo, JA, et al.
Foilsithe / Cruthaithe: (2021)

Distributions with given marginals: the beginnings
de réir: Durante Fabrizio, et al.
Foilsithe / Cruthaithe: (2016-11-01)

Utility theory front to back - inferring utility from agents' choices
de réir: Cox, A, et al.
Foilsithe / Cruthaithe: (2011)

On the exit time and stochastic homogenization of isotropic diffusions in large domains
de réir: Fehrman, B
Foilsithe / Cruthaithe: (2019)

Bounds for Trivariate Copulas with Given Bivariate Marginals
Foilsithe / Cruthaithe: (2009-03-01)

Bounds for Trivariate Copulas with Given Bivariate Marginals
de réir: Quesada-Molina JoséJuan, et al.
Foilsithe / Cruthaithe: (2008-01-01)

Existence of laws with given marginals and specified support
de réir: Shortt, Rae Michael Andrew
Foilsithe / Cruthaithe: (2005)

Classes of measures which can be embedded in the Simple Symmetric Random Walk
de réir: Cox, A, et al.
Foilsithe / Cruthaithe: (2008)

LARGE-TIME ASYMPTOTIC OF THE SOLUTION TO THE DIFFUSION EQUATION AND ITS APPLICATION TO HOMOGENIZATION ESTIMATES
de réir: S. E. Pastukhova, et al.
Foilsithe / Cruthaithe: (2017-10-01)

A truncation regularization method for a time fractional diffusion equation with an in-homogeneous source
de réir: Vu Cam Hoan Luu, et al.
Foilsithe / Cruthaithe: (2018-01-01)

Equivalent or absolutely continuous probability measures with given marginals
de réir: Berti Patrizia, et al.
Foilsithe / Cruthaithe: (2015-05-01)

An iterated Azéma-Yor type embedding for finitely many marginals
de réir: Obloj, J, et al.
Foilsithe / Cruthaithe: (2017)

Information diffusion model with homogeneous continuous time Markov chain on Indonesian Twitter users
de réir: Firdaniza Firdaniza, et al.
Foilsithe / Cruthaithe: (2022-01-01)

Given (No) Time: A Derridean Reading of Denis Villeneuve's Arrival
de réir: Gina Zavota
Foilsithe / Cruthaithe: (2020-06-01)

On robust pricing--hedging duality in continuous time
de réir: Hou, Z, et al.
Foilsithe / Cruthaithe: (2015)

Robust pricing–hedging dualities in continuous time
de réir: Hou, Z, et al.
Foilsithe / Cruthaithe: (2018)

Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
de réir: Obłój, JK, et al.
Foilsithe / Cruthaithe: (2021)

Existence of diffusive processes with the given local characteristics
de réir: M. M. Osypchuk
Foilsithe / Cruthaithe: (2012-12-01)

Existence of diffusive processes with the given local characteristics
de réir: M. M. Osypchuk
Foilsithe / Cruthaithe: (2009-06-01)

President's Column: Making an Impact in the Time That is Given to Us
de réir: Rachel Vacek
Foilsithe / Cruthaithe: (2015-06-01)

Model Interpretation Considering Both Time and Frequency Axes Given Time Series Data
de réir: Woonghee Lee, et al.
Foilsithe / Cruthaithe: (2022-12-01)

pyHomogeneity: A Python Package for Homogeneity Test of Time Series Data
de réir: Md. Manjurul Hussain, et al.
Foilsithe / Cruthaithe: (2023-02-01)

Pathwise stochastic calculus with local times
de réir: Davis, M, et al.
Foilsithe / Cruthaithe: (2018)

Transition density estimates for diffusion processes on homogeneous random Sierpinski carpets
de réir: Hambly, B, et al.
Foilsithe / Cruthaithe: (2000)

Homogenization of a diffusion equation with drift
de réir: Capdeboscq, Y
Foilsithe / Cruthaithe: (1998)

Factors affecting prolonged time to extubation in patients given remimazolam.
de réir: Yoko Shimamoto, et al.
Foilsithe / Cruthaithe: (2022-01-01)

The Truncation Regularization Method for Identifying the Initial Value on Non-Homogeneous Time-Fractional Diffusion-Wave Equations
de réir: Fan Yang, et al.
Foilsithe / Cruthaithe: (2019-10-01)

Homogenization for advection-diffusion in a perforated domain
de réir: Haynes, P, et al.
Foilsithe / Cruthaithe: (2010)

A Time-Domain Method to Generate Artificial Time History from a Given Reference Response Spectrum
de réir: Gangsig Shin, et al.
Foilsithe / Cruthaithe: (2016-06-01)

Construction of the Consistent Estimate of the Spectral Density of a Discrete-Time Homogeneous Stable Random Fields
de réir: Nikolay Demesh, et al.
Foilsithe / Cruthaithe: (2016-04-01)

Relative Homogenization of Climatic Time Series
de réir: Peter Domonkos
Foilsithe / Cruthaithe: (2024-08-01)

On the homogeneity of radiosonde wind time series
de réir: Christine Gruber, et al.
Foilsithe / Cruthaithe: (2008-10-01)

Adaptive Time Synchronization for Homogeneous WSNs
de réir: Siddhartha Chauhan, et al.
Foilsithe / Cruthaithe: (2012-11-01)