Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding

dc.contributor.author	Roynette, B.
dc.contributor.author	Vallois, P.
dc.contributor.author	Yor, M.
dc.date.accessioned	2009-12-03T16:41:41Z
dc.date.available	2009-12-03T16:41:41Z
dc.date.issued	2008
dc.identifier.citation	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.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4558
dc.description.abstract	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_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Penalisations of Brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US
dc.identifier.udc	519.21