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20022020
most citedPathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

39 citations · 45 across the 12 of their papers we have counts for

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Showing 2012 · math.PRShow all

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math.PR2012

Fake Exponential Brownian Motion

David G Hobson

We construct a fake exponential Brownian motion, a continuous martingale different from classical exponential Brownian motion but with the same marginal distributions, thus extendi…