Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding
We develop a Brownian penalisation procedure related to weight processes (Ft) of the type: Ft := f(It, St) where f is a bounded function with compact support and St (resp. It) is the one-sided maximum (resp. minimum) of the Brownian motion up to time t. Two main cases are treated: either Ft is the i...
Збережено в:
| Дата: | 2008 |
|---|---|
| Автори: | , , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2008
|
| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4558 |
| Теги: |
Додати тег
Немає тегів, Будьте першим, хто поставить тег для цього запису!
|
| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding / B. Roynette, P. Vallois, M. Yor // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 116–138. — Бібліогр.: 25 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-4558 |
|---|---|
| record_format |
dspace |
| spelling |
irk-123456789-45582009-12-07T12:00:33Z Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding Roynette, B. Vallois, P. Yor, M. We develop a Brownian penalisation procedure related to weight processes (Ft) of the type: Ft := f(It, St) where f is a bounded function with compact support and St (resp. It) is the one-sided maximum (resp. minimum) of the Brownian motion up to time t. Two main cases are treated: either Ft is the indicator function of {It ≥ α, St ≤ β} or Ft is null when {St − It > c} for some c > 0. Then we apply these results to some kind of asymptotic Skorokhod embedding problem. 2008 Article Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding / B. Roynette, P. Vallois, M. Yor // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 116–138. — Бібліогр.: 25 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4558 519.21 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
We develop a Brownian penalisation procedure related to weight processes (Ft) of the type: Ft := f(It, St) where f is a bounded function with compact support and St (resp. It) is the one-sided maximum (resp. minimum) of the Brownian motion up to time t. Two main cases are treated: either Ft is the indicator function of {It ≥ α, St ≤ β} or Ft is null when {St − It > c} for some c > 0. Then we apply these results to some kind of asymptotic Skorokhod embedding problem. |
| format |
Article |
| author |
Roynette, B. Vallois, P. Yor, M. |
| spellingShingle |
Roynette, B. Vallois, P. Yor, M. Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding |
| author_facet |
Roynette, B. Vallois, P. Yor, M. |
| author_sort |
Roynette, B. |
| title |
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding |
| title_short |
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding |
| title_full |
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding |
| title_fullStr |
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding |
| title_full_unstemmed |
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding |
| title_sort |
penalisations of brownian motion with its maximum and minimum processes as weak forms of skorokhod embedding |
| publisher |
Інститут математики НАН України |
| publishDate |
2008 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4558 |
| citation_txt |
Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding / B. Roynette, P. Vallois, M. Yor // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 116–138. — Бібліогр.: 25 назв.— англ. |
| work_keys_str_mv |
AT roynetteb penalisationsofbrownianmotionwithitsmaximumandminimumprocessesasweakformsofskorokhodembedding AT valloisp penalisationsofbrownianmotionwithitsmaximumandminimumprocessesasweakformsofskorokhodembedding AT yorm penalisationsofbrownianmotionwithitsmaximumandminimumprocessesasweakformsofskorokhodembedding |
| first_indexed |
2023-03-24T08:30:42Z |
| last_indexed |
2023-03-24T08:30:42Z |
| _version_ |
1796139193677643776 |