Constructing Self-Similar Martingales via Two Skorokhod Embeddings
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Publication:3086813
DOI10.1007/978-3-642-15217-7_21zbMath1234.60047MaRDI QIDQ3086813
Marc Yor, Bernard Roynette, Francis Hirsch, Christophe Profeta
Publication date: 30 March 2011
Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_21
Schauder fixed point theorem; convex order; Skorokhod embeddings; Azéma-Yor embedding algorithm; Hardy-Littlewood functions; Karamata's representation theorem; self-similar martingales
60J25: Continuous-time Markov processes on general state spaces
60J65: Brownian motion
60G44: Martingales with continuous parameter
60G18: Self-similar stochastic processes
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Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps, An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
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