An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale. (Q2574635)

The Skorokhod stopping problem for positive functionals of Brownian excursions is dealt with. The stopping times considered in the paper have the form \(T_{\mu } = \inf \{t>0:F_t\geq \varphi _{\mu }^F(L_t)\}\), where \(F\) is a given positive, non-decreasing, continuous functional of Brownian excursions, and \(\mu \) is a probability measure on \(\mathbb R_+\). The problem is solved for a number of functionals \(F\), including the age and the maximum of excursions. Explicit formulas for the stopping times \(T_{\mu }\) such that \(F_{T_{\mu }}\sim \mu \), are given. In the case of the age functional, the joint law \((g_{T_{\mu }}, T_{\mu }, L_{T_{\mu }})\) is characterized. A randomized solution to the embedding problem for Azéma martingale is given.