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...

Полное описание

Библиографические подробности
Главные авторы:	Cox, A, Hobson, D, Obloj, J
Формат:	Journal article
Язык:	English
Опубликовано:	2009

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