scientific article; zbMATH DE number 1552488

zbMATH Open0967.60046MaRDI QIDQ4524744FDOQ4524744

Authors: Goran Peskir 

Publication date: 30 August 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Brownian motionstopping timeSkorokhod embedding problemAzéma-Yor embeddingnon-recurrent diffusions

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (15)

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• Processes that can be embedded in a geometric Brownian motion
• Embedding in Brownian motion with drift and the Azéma-Yor construction
• On stopping times connected with drawdowns and rallies of a Brownian motion with drift
• An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
• Optimal embeddings by unbiased shifts of Brownian motion
• The Azéma-Yor embedding in non-singular diffusions.
• Embedding of Walsh Brownian motion
• A solution to Skorokhod's embedding for linear Brownian motion and its local time
• Representing a distribution by stopping a Brownian Motion: Root's construction
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• Embedding laws in diffusions by functions of time

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