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Showing 2003 · math.PRShow all
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math.PR2003
Skorokhod embeddings, minimality and non-centred target distributions
Alexander Cox, David Hobson
In this paper we consider the Skorokhod embedding problem for target distributions with non-zero mean. In the zero-mean case, uniform integrability provides a natural restriction o…
math.PR2003
Brownian intersection local times: Exponential moments and law of large masses
Wolfgang Koenig, Peter Moerters
Consider p independent Brownian motions in R^d, each running up to its first exit time from an open domain B, and their intersection local time l as a measure on B. We give a sharp…