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Embedding random variables in a Brownian motion with drift. (Spanish. English summary) Zbl 0734.60082

Summary: We present a method of embedding positive random variables in Brownian motion with drift, by means of minimal stopping times corresponding to barriers. Embedding theorems for discrete and right-continuous increasing processes will be given.

MSC:

60J65 Brownian motion
60G40 Stopping times; optimal stopping problems; gambling theory
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References:

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