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

DOI10.1016/J.SPA.2003.10.006MaRDI QIDQ2574635zbMATH OpenOpenAlexFDO

Authors 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)

Review text

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.

Recommendations

Cites work

Cited in

(13)

This page was built for publication: An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2574635)