Related papers: The Generalized Shiryaev's Problem and Skorohod Em…
In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging of options depending on the local time by using the…
Given a planar domain $D$, the harmonic measure distribution function $h_D(r)$, with base point $z$, is the harmonic measure with pole at $z$ of the parts of the boundary which are within a distance $r$ of $z$. Equivalently it is the…
A new stochastic process is introduced and considered - squared Bessel process with special stochastic time. The analogues of fundamental properties for Brownian motion are deduced for squared Bessel process. In particular an analogue of…
For a stochastic process $(X_t)_{t\geq 0}$ we establish conditions under which the inverse first-passage time problem has a solution for any random variable $\xi >0$. For Markov processes we give additional conditions under which the…
The Skorokhod embedding problem (SEP) is to represent a given probability measure as a Brownian motion $B$ at a particular stopping time. In recent years particular attention has gone to solutions which exhibit additional optimality…
Strong approximations of uniform transport processes to the standard Brownian motion rely on the Skorokhod embedding of random walk with centered double exponential increments. In this note we make such an embedding explicit by means of a…
In this paper we consider a (reflected) Brownian motion with broken drift hitting a random boundary. Some dedicated calculations allow us to obtain the formula on the joint Laplace transform of the hitting time and hitting position. These…
In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a…
One of aims of this note is to capture the interest of the mathematical community to a novel transformation, which we shall call Brownian symmetrization. This transformation arises from the solution of the planar Skorokhod embedding…
Suppose $X$ is a time-homogeneous diffusion on an interval $I^X \subseteq \mathbb R$ and let $\mu$ be a probability measure on $I^X$. Then $\tau$ is a solution of the Skorokhod embedding problem (SEP) for $\mu$ in $X$ if $\tau$ is a…
We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =\mu (t, A_t) d t + \sigma(t, A_t) d W_t$. We provide sufficient conditions…
We consider cost minimizing stopping time solutions to Skorokhod embedding problems, which deal with transporting a source probability measure to a given target measure through a stopped Brownian process. PDEs and a free boundary problem…
\noindent We address some direct and inverse problems, for the first-exit time (FET) $\tau $ of a drifted Brownian motion with Poissonian resetting ${\cal X}(t)$ from an interval $(0,b)$ and the first-exit area (FEA) $A,$ namely the area…
The first-exit time process of an inverse Gaussian L\'evy process is considered. The one-dimensional distribution functions of the process are obtained. They are not infinitely divisible and the tail probabilities decay exponentially. These…
The distribution of the first hitting time of a disc for the standard two dimensional Brownian motion is computed. By investigating the inversion integral of its Laplace transform we give fairy detailed asymptotic estimates of its density…
The planar Skorokhod embedding problem was first proposed and solved by R. Gross in 2019 [#gross2019]. Gross worked with probability distributions having finite second moment. In [#boudabra2019remarks, #Boudabra2020], the solutions extended…
In this article we study a problem related to the first passage and inverse first passage time problems for Brownian motions originally formulated by Jackson, Kreinin and Zhang (2009). Specifically, define $\tau_X = \inf\{t>0:W_t + X \le…
We study an inverse first-hitting problem for a one-dimensional, time-homogeneous diffusion $X(t)$ reflected between two boundaries $a$ and $b,$ which starts from a random position $\eta.$ Let $a \le S \le b$ be a given threshold, such that…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
This paper is concerned with the mathematical analysis of the inverse random source problem for the time fractional diffusion equation, where the source is assumed to be driven by a fractional Brownian motion. Given the random source, the…