most citedTime-Homogeneous Diffusions with a Given Marginal at a Random Time

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math.PR2009★ 1 cited

Time-Homogeneous Diffusions with a Given Marginal at a Random Time

Alexander M. G. Cox, David G. Hobson, Jan K. Obłój

We solve explicitly the following problem: for a given probability measure mu, we specify a generalised martingale diffusion X which, stopped at an independent exponential time T,…