On an explicit Skorokhod embedding for spectrally negative Lévy processes

DOI10.1007/S10959-008-0157-7MaRDI QIDQ1028617zbMATH OpenOpenAlexFDO

Authors Jan Obłój, Martijn R. Pistorius

Publication date 6 July 2009

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0703597

zbMATH Keywords

excursion theoryLevy processminimal stopping timescale functionSkorokhod embedding

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51)

Abstract: We present an explicit solution to the Skorokhod embedding problem for spectrally negative L'evy processes. Given a process $X$ and a target measure $mu$ satisfying an explicit admissibility condition we define functions $f_{p}m$ such that the stopping time $T=inft>0:X_{t}in-f_{-}(L_t),f_{+}(L_t)$ induces $X_{T}simmu$. We also treat versions of $T$ which take into account the sign of the excursion straddling time $t$. We prove that our stopping times are minimal and we describe criteria under which they are integrable. We compare our solution with the one proposed by Bertoin and Le Jan (1992) and we compute explicitly their general quantities in our setup. Our method relies on some new explicit calculations relating scale functions and the It^o excursion measure of $X$. More precisely, we compute the joint law of the maximum and minimum of an excursion away from 0 in terms of the scale function.

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Cited in

(6)

• On Skorokhod embeddings and Poisson equations
• Spectrally negative Lévy processes with applications in risk theory
• From minimal embeddings to minimal diffusions
• An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes
• Occupation times of spectrally negative Lévy processes with applications
• An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes

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