Constructing Self-Similar Martingales via Two Skorokhod Embeddings
DOI10.1007/978-3-642-15217-7_21zbMath1234.60047OpenAlexW4294379671MaRDI QIDQ3086813
Marc Yor, Francis Hirsch, Bernard Roynette, 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 theoremconvex orderSkorokhod embeddingsAzéma-Yor embedding algorithmHardy-Littlewood functionsKaramata's representation theoremself-similar martingales
Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Martingales with continuous parameter (60G44) Self-similar stochastic processes (60G18)
Related Items (3)
Cites Work
- Peacocks and associated martingales, with explicit constructions
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- The Skorokhod embedding problem and its offspring
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