X: 12, 194-208, LNM 511 (1976)
ROST, Hermann
Skorohod stopping times of minimal variance (
Markov processes)
Root's (
Ann. Math. Stat.,
40, 1969) solution of the Shorohod imbedding problem for Brownian motion uses the hitting time of a barrier in space-time. Here Root's construction is extended to general Markov processes, an optimality property of Root's stopping times is proved, as well as the uniqueness of such stopping times
Comment: For previous work of the author on Skorohod's imbedding see
Ann. M. Stat. 40, 1969 and
Invent. Math. 14, 1971, and in this Seminar
523,
613,
806. A general survey on the Skorohod embedding problem is Ob\lój,
Probab. Surv. 1, 2004
Keywords: Skorohod imbeddingNature: Original
Retrieve article from Numdam
