VIII: 02, 11-19, LNM 381 (1974)
BRETAGNOLLE, Jean
Une remarque sur le problème de Skorohod (
Brownian motion)
The explicit construction of a non-randomized solution of the Skorohod imbedding problem given by Dubins (see
516) is studied from the point of view of exponential moments. In particular, the Dubins stopping time for the distribution of a bounded stopping time $T$ has exponential moments, but this is not always the case if $T$ has exponential moments without being bounded
Comment: A general survey on the Skorohod embedding problem is Ob\lój,
Probab. Surv. 1, 2004
Keywords: Skorohod imbeddingNature: Original
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