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)

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Cited in

(13)

• scientific article; zbMATH DE number 4013694 (Why is no real title available?)
• Embedding in Brownian motion with drift and the Azéma-Yor construction
• 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
• Some contributions to the study of stochastic processes of the classes \(\Sigma (H)\) and \((\Sigma)\)
• A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
• Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm
• scientific article; zbMATH DE number 2034361 (Why is no real title available?)
• Captive diffusions and their applications to order-preserving dynamics
• A class of remarkable submartingales
• From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers
• Piecewise-tunneled captive processes and corridored random particle systems

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