2 papers
math.PR2012
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
Martin Klimmek
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical…
math.PR2010
Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values
David Hobson, Martin Klimmek
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem…