Timeline for Inverse Skorokhod Embedding Problem
Current License: CC BY-SA 2.5
4 events
| when toggle format | what | by | license | comment | |
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| Mar 1, 2011 at 14:57 | comment | added | The Bridge | May be this could do the (theoretical) trick, define $\mathcal{G_t}=\mathcal{F}_t\vee \tau$ the augmented filtration of the original stocahstic basis, then defining $Y_t=E[X_\tau| \mathcal{G}_t]$ would be correct answer. anyway this is still theoretical since this doesn't give analytical form to the $Y$ process | |
| Mar 1, 2011 at 14:53 | history | edited | The Bridge | CC BY-SA 2.5 |
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| Mar 1, 2011 at 9:48 | comment | added | The Bridge | The question as it is asked is really general so do not hesitate to give particular cases where a solution is attainable. | |
| Mar 1, 2011 at 9:10 | history | asked | The Bridge | CC BY-SA 2.5 |