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...
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| Datum: | 2008 |
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| Format: | Artikel |
| Sprache: | Englisch |
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Інститут математики НАН України
2008
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| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/4558 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862730629751242752 |
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| author | Roynette, B. Vallois, P. Yor, M. |
| author_facet | Roynette, B. Vallois, P. Yor, M. |
| 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. |
| collection | DSpace DC |
| 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.
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| first_indexed | 2025-12-07T19:21:30Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4558 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-12-07T19:21:30Z |
| publishDate | 2008 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Roynette, B. Vallois, P. Yor, M. 2009-12-03T16:41:41Z 2009-12-03T16:41:41Z 2008 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 https://nasplib.isofts.kiev.ua/handle/123456789/4558 519.21 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. en Інститут математики НАН України Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding Article published earlier |
| spellingShingle | Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding Roynette, B. Vallois, P. Yor, M. |
| title | 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_short | 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 |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4558 |
| work_keys_str_mv | AT roynetteb penalisationsofbrownianmotionwithitsmaximumandminimumprocessesasweakformsofskorokhodembedding AT valloisp penalisationsofbrownianmotionwithitsmaximumandminimumprocessesasweakformsofskorokhodembedding AT yorm penalisationsofbrownianmotionwithitsmaximumandminimumprocessesasweakformsofskorokhodembedding |