Translator Disclaimer
2019 A conformal Skorokhod embedding
Renan Gross
Electron. Commun. Probab. 24: 1-11 (2019). DOI: 10.1214/19-ECP272

Abstract

Start a planar Brownian motion and let it run until it hits some given barrier. We show that the barrier may be crafted so that the $x$ coordinate at the hitting time has any prescribed centered distribution with finite variance. This provides a new, complex-analytic proof of the Skorokhod embedding theorem. Our method is constructive and can give an explicit description of the barrier.

Citation

Download Citation

Renan Gross. "A conformal Skorokhod embedding." Electron. Commun. Probab. 24 1 - 11, 2019. https://doi.org/10.1214/19-ECP272

Information

Received: 29 May 2019; Accepted: 14 October 2019; Published: 2019
First available in Project Euclid: 7 November 2019

zbMATH: 07142639
MathSciNet: MR4029437
Digital Object Identifier: 10.1214/19-ECP272

Subjects:
Primary: 30B10, 60G40, 60G44

JOURNAL ARTICLE
11 PAGES


SHARE
Back to Top