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

DOI10.1016/J.SPA.2003.10.006zbMATH Open1075.60038OpenAlexW2079838594MaRDI QIDQ2574635FDOQ2574635

Jan Obłój, Marc Yor

Publication date: 29 November 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2003.10.006

zbMATH Keywords

Skorokhod embedding problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

Cites Work

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• On the laws of homogeneous functionals of the Brownian bridge
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Cited In (8)

• Captive jump processes for bounded random systems with discontinuous dynamics
• Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
• An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
• Captive diffusions and their applications to order-preserving dynamics
• A class of remarkable submartingales
• From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers
• Some contributions to the study of stochastic processes of the classes and
• Piecewise-tunneled captive processes and corridored random particle systems

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