From minimal embeddings to minimal diffusions
نویسندگان
چکیده
منابع مشابه
From minimal embeddings to minimal diffusions
We show that there is a one-to-one correspondence between diffusions and the solutions of the Skorokhod Embedding Problem due to Bertoin and Le-Jan. In particular, the minimal embedding corresponds to a ‘minimal local martingale diffusion’, which is a notion we introduce in this article. Minimality is closely related to the martingale property. A diffusion is minimal if it it minimises the expe...
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2014
ISSN: 1083-589X
DOI: 10.1214/ecp.v19-2889