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8 matches found
XVII: 24, 221-224, LNM 986 (1983)
BASS, Richard F.
Skorohod imbedding via stochastic integrals (Brownian motion)
A centered probability $\mu$ on $\bf R$ is the law of $g(X_1)$, for a suitable function $g$ and $(X_t,\ t\le 1)$ a Brownian motion. The martingale with terminal value $g(X_1)$ is a time change $(T(t), \ t\le1)$ of a Brownian motion $\beta$; it is shown that $T(1)$ is a stopping time for $\beta$, thus showing the Skorohod embedding for $\mu$
Comment: A general survey on the Skorohod embedding problem is Ob\lój, Probab. Surv. 1, 2004
Keywords: Skorohod imbedding
Nature: Original
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XVIII: 02, 29-41, LNM 1059 (1984)
BASS, Richard F.
Markov processes and convex minorants
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XXI: 12, 206-217, LNM 1247 (1987)
BASS, Richard F.
$L_p$ inequalities for functionals of Brownian motion
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XXIII: 35, 421-425, LNM 1372 (1989)
BASS, Richard F.
Using stochastic comparison to estimate Green's functions
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XXIV: 02, 15-40, LNM 1426 (1990)
BASS, Richard F.
A probabilistic approach to the boundedness of singular integral operators
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XXVI: 01, 1-10, LNM 1526 (1992)
BASS, Richard F.; KHOSHNEVISAN, Davar
Stochastic calculus and the continuity of local times of Lévy processes
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XXXV: 14, 195-201, LNM 1755 (2001)
BASS, Richard F.; PERKINS, Edwin A.
On the martingale problem for super-Brownian motion
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XXXVI: 11, 302-313, LNM 1801 (2003)
BASS, Richard F.
Stochastic differential equations driven by symmetric stable processes