By A. M. G. Cox and D. Hobson

Given a Brownian motion *B_t* and a general target law *\mu* (not necessarily centered or even integrable) we show how to construct an embedding of *\mu* in *B*. This embedding is an extension of an embedding due to Perkins, and is optimal in the sense that it simultaneously minimises the... Show more

December 12, 2002

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