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

DOI10.1016/j.spa.2003.10.006zbMath1075.60038OpenAlexW2079838594MaRDI QIDQ2574635

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)

Related Items (7)

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

Cites Work

• Representation of measures by balayage from a regular recurrent point
• Complete markets with discontinuous security price
• Modeling credit risk with partial information.
• A solution to Skorokhod's embedding for linear Brownian motion and its local time
• The Existence of Certain Stopping Times on Brownian Motion
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