scientific article; zbMATH DE number 3644254

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Doob's inequalities revisited: A maximal H^ 1-embedding
The distribution of Brownian motion in \(R^ n\) at a natural stopping time
Some inequalities with local times in zero of a Brownian motion
On Doob's maximal inequality for Brownian motion
The joint law of the maximum and terminal value of a martingale
Designing options given the risk: The optimal Skorokhod-embedding problem
Embedding in Brownian motion with drift and the Azéma-Yor construction
From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
Robust bounds for the American put
Optimal stopping and the sufficiency of randomized threshold strategies
The Azéma-Yor embedding in non-singular diffusions.
Martingales with given maxima and terminal distributions
Explicit form and robustness of martingale representations.
Optimal stopping under probability distortion
Embedding of Walsh Brownian motion
Time-changed local martingales under signed measures
General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
On a doubly reflected risk process with running maximum dependent reflecting barriers
A construction of the left-curtain coupling
The geometry of multi-marginal Skorokhod embedding
MRL order, log-concavity and an application to peacocks
Two explicit Skorokhod embeddings for simple symmetric random walk
Minimal Root's embeddings for general starting and target distributions
Mean residual life processes and associated submartingales
Gambling in contests modelled with diffusions
On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
Optimal transport and Skorokhod embedding
Integral equations for Rost's reversed barriers: existence and uniqueness results
On taxed spectrally negative Lévy processes with draw-down stopping
Weak decreasing stochastic order
Fake exponential Brownian motion
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
An optimal Skorokhod embedding for diffusions
Skorokhod embeddings, minimality and non-centred target distributions
An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
A complete characterization of local martingales which are functions of Brownian motion and its maximum
Martingale inequalities for the maximum via pathwise arguments
On the monotonicity principle of optimal Skorokhod embedding problem
Maximal exponential inequalities for certain diffusion processes
Constructing Self-Similar Martingales via Two Skorokhod Embeddings
Omega diffusion risk model with surplus-dependent tax and capital injections
A trajectorial interpretation of Doob's martingale inequalities
Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
Lévy processes conditioned on having a large height process
A remarkable -finite measure unifying supremum penalisations for a stable Lévy process
Optimal transportation under controlled stochastic dynamics
Les inegalites de sous-martingales, comme consequences de la relation de domination
Stopped distributions for Markov processes in duality
BSDEs in utility maximization with BMO market price of risk
Some contributions to the study of stochastic processes of the classes (H) and ()
Shadow couplings
General drawdown of general tax model in a time-homogeneous Markov framework
Model-independent pricing with insider information: a Skorokhod embedding approach
Randomized strategies and prospect theory in a dynamic context
On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals
TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
The joint law of a max-continuous local submartingale and its maximum
Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
Exit problems for general draw-down times of spectrally negative Lévy processes
A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
The joint law of terminal values of a nonnegative submartingale and its compensator
Shadows and barriers
Faking Brownian motion with continuous Markov martingales
Penalisation of a stable Lévy process involving its one-sided supremum
A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time
Some martingale properties of the simple random walk and its maximum process
The Stefan problem and free targets of optimal Brownian martingale transport
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
Drawdowns of diffusions
On the Brownian range and the Brownian reversal
On excursions associated with a certain local time of simple symmetric random walks, with applications
Computation of robust option prices via structured multimarginal martingale optimal transport
Une extension des théorèmes de Ray et Knight sur les temps locaux Browniens. (An extension of the theorems of Ray and Knight on Brownian local times)
A class of remarkable submartingales
An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
Price dynamics on a stock market with asymmetric information

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