Two explicit Skorokhod embeddings for simple symmetric random walk

DOI10.1016/j.spa.2018.09.013zbMath1479.60081arXiv1705.05635OpenAlexW2963465489WikidataQ129101870 ScholiaQ129101870MaRDI QIDQ2274306

Sang Hu, Xue Dong He, Jan Obłój, Xun Yu Zhou

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.05635

zbMATH Keywords

Skorokhod embeddingsimple symmetric random walkrandomized stopping timeAzéma-Yor stopping time

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

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