The generalized Shiryaev problem and Skorokhod embedding
نویسندگان
چکیده
منابع مشابه
Designing Options Given the Risk: The Optimal Skorokhod-Embedding Problem
c(x) = 1 2 F 0(x) 1 F (x) where one incidentally recognizes x 7! F 0(x)=(1 F (x)) as the Hazard function of . There is also a simple explicit formula for the optimal stopping time , but the main emphasis of the result is on the existence of the underlying functional in the optimal stopping problem. The integrability condition on is natural and cannot be improved. The condition on the existence...
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ژورنال
عنوان ژورنال: Теория вероятностей и ее применения
سال: 2013
ISSN: 0040-361X,2305-3151
DOI: 10.4213/tvp4532