论文标题
针对双重指数增量的Skorokhod嵌入问题的明确解决方案
An explicit solution to the Skorokhod embedding problem for double exponential increments
论文作者
论文摘要
标准布朗运动均匀运输过程的强近似依赖于以中心双指数增量的随机行走的skorokhod嵌入。在本说明中，我们通过Poissonian方案做出了这样的嵌入，这既简化了均匀运输过程的强近似值的经典结构（Griego等人（1971）），并提高了其强收敛速度（Gorostiza等人（1980））。我们通过提供有关以不对称双指数增量嵌入随机步行的扩展来完成的。
Strong approximations of uniform transport processes to the standard Brownian motion rely on the Skorokhod embedding of random walk with centered double exponential increments. In this note we make such an embedding explicit by means of a Poissonian scheme, which both simplifies classic constructions of strong approximations of uniform transport processes (Griego et al. (1971)) and improves their rate of strong convergence (Gorostiza et al. (1980)). We finalise by providing an extension regarding the embedding of a random walk with asymmetric double exponential increments.
