Skorokhod embeddings for two-sided Markov chains

Author:

Mörters Peter,Redl István

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis

Reference19 articles.

1. Aurzada, F., Döring, H., Ortgiese, M., Scheutzow, M.: Moments of recurrence times for Markov chains. Electron. Commun. Probab. 16, 296–303 (2011)

2. Barlow, M.T., Yor, M.: (Semi-) martingale inequalities and local times. Z. Wahrsch. Verw. Gebiete 55, 237–254 (1981)

3. Bass, R.F.: Probabilistic techniques in analysis. Probability and Its Applications (New York). Springer-Verlag, New York, (1995)

4. Beiglböck, M., Cox, A.M.G. and Huesmann, M.: Optimal Transport and Skorokhod Embedding. arXiv:1307.3656 , (2013)

5. Chen, X.: How often does a Harris recurrent Markov chain recur? Ann. Probab. 27, 1324–1346 (1999)

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2. Optimal embeddings by unbiased shifts of Brownian motion;Bulletin of the London Mathematical Society;2017-02-09

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