Indexing metadata

From minimal embeddings to minimal diffusions


 
Dublin Core PKP Metadata Items Metadata for this Document
 
1. Title Title of document From minimal embeddings to minimal diffusions
 
2. Creator Author's name, affiliation, country Alexander Matthew Gordon Cox; University of Bath; United Kingdom
 
2. Creator Author's name, affiliation, country Martin Klimmek; Mathematical Institute, University of Oxford; United Kingdom
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) diffusion, minimality, local-martingales, Skorokhod embedding problem
 
3. Subject Subject classification 60J60; 60G40; 60J55
 
4. Description Abstract We show that there is a one-to-one correspondence between diffusions and the solutions of the Skorokhod Embedding Problem due to Bertoin and Le-Jan. In particular, the minimal embedding corresponds to a "minimal local martingale diffusion", which is a notion we introduce in this article. Minimality is closely related to the martingale property. A diffusion is minimal if it minimises the expected local time at every point among all diffusions with a given distribution at an exponential time. Our approach makes explicit the connection between the boundary behaviour, the martingale property and the local time characteristics of time-homogeneous diffusions.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2014-06-11
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2889
 
10. Identifier Digital Object Identifier 10.1214/ECP.v19-2889
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 19
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
15. Rights Copyright and permissions The Electronic Journal of Probability applies the Creative Commons Attribution License (CCAL) to all articles we publish in this journal. Under the CCAL, authors retain ownership of the copyright for their article, but authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles published in EJP, so long as the original authors and source are credited. This broad license was developed to facilitate open access to, and free use of, original works of all types. Applying this standard license to your work will ensure your right to make your work freely and openly available.

Summary of the Creative Commons Attribution License

You are free
  • to copy, distribute, display, and perform the work
  • to make derivative works
  • to make commercial use of the work
under the following condition of Attribution: others must attribute the work if displayed on the web or stored in any electronic archive by making a link back to the website of EJP via its Digital Object Identifier (DOI), or if published in other media by acknowledging prior publication in this Journal with a precise citation including the DOI. For any further reuse or distribution, the same terms apply. Any of these conditions can be waived by permission of the Corresponding Author.