Embedding in Brownian motion with drift and the Azéma-Yor construction

Peter Grandits and Neil Falkner

Stochastic Processes and their Applications, 2000, vol. 85, issue 2, 249-254

Abstract: We consider the embedding of a probability distribution in Brownian motion with drift. We first give a sufficient condition on the target measure, under which a variant of the Azéma-Yor (1979a, Séminaire de Probabilités XIII, Lecture Notes in Mathematics, Vol. 721, Springer, Berlin, pp. 90-115) construction for this problem works. A necessary and sufficient condition for embeddability by means of some stopping time, not necessarily finite, is also provided. This latter condition is then analyzed in some detail.

Keywords: Skorohod; embedding; problem; Azema-Yor; stopping; time (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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