Constructing Self-Similar Martingales via Two Skorokhod Embeddings

DOI10.1007/978-3-642-15217-7_21zbMath1234.60047MaRDI QIDQ3086813

Marc Yor, Francis Hirsch, Bernard Roynette, Christophe Profeta

Publication date: 30 March 2011

Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_21

zbMATH Keywords

Schauder fixed point theorem; convex order; Skorokhod embeddings; Azéma-Yor embedding algorithm; Hardy-Littlewood functions; Karamata's representation theorem; self-similar martingales

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60J65: Brownian motion

60G44: Martingales with continuous parameter

60G18: Self-similar stochastic processes

Related Items

Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps, An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint, Optimal stopping and the sufficiency of randomized threshold strategies

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